An object-oriented framework for valuing shout options on high-performance computer architectures (Q951351): Difference between revisions

@@ Property / author @@
-Kenneth Vetzal
@@ Property / author: Kenneth Vetzal / rank @@
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-Q617637
@@ Property / author: Q617637 / rank @@
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@@ Property / author @@
-Q951349
@@ Property / author: Q951349 / rank @@
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@@ Property / author @@
-Thomas F. Coleman
@@ Property / author: Thomas F. Coleman / rank @@
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@@ Property / author @@
+Kenneth Vetzal
@@ Property / author: Kenneth Vetzal / rank @@
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@@ Property / author @@
+Peter A. I. Forsyth
@@ Property / author: Peter A. I. Forsyth / rank @@
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@@ Property / author @@
+Arun Kumar Verma
@@ Property / author: Arun Kumar Verma / rank @@
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@@ Property / author @@
+Thomas F. Coleman
@@ Property / author: Thomas F. Coleman / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / cites work @@
+Pricing and hedging derivative securities in markets with uncertain volatilities
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@@ Property / cites work @@
+Pricing and hedging long-term options
@@ Property / cites work: Pricing and hedging long-term options / rank @@
+Normal rank
@@ Property / cites work @@
+Reserving for maturity guarantees: Two approaches
@@ Property / cites work: Reserving for maturity guarantees: Two approaches / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing American-style securities using simulation
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+A finite element approach to the pricing of discrete lookbacks with stochastic volatility
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
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@@ Property / cites work @@
+Q3994952
@@ Property / cites work: Q3994952 / rank @@
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@@ Property / cites work @@
+Step Options
@@ Property / cites work: Step Options / rank @@
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@@ Property / cites work @@
+Shout options: A framework for pricing contracts which can be modified by the investor
+Normal rank
@@ Property / cites work @@
+Penalty methods for American options with stochastic volatility
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/s0165-1889(02)00058-1
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@@ Property / OpenAlex ID @@
+W1998136474
@@ Property / OpenAlex ID: W1998136474 / rank @@
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