An improved method for pricing and hedging long dated American options
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Publication:323396
DOI10.1016/J.EJOR.2016.04.002zbMATH Open1346.91231OpenAlexW2324090688MaRDI QIDQ323396FDOQ323396
Tommaso Paletta, Radu Tunaru, Frank J. Fabozzi, Silvia Stanescu
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://sro.sussex.ac.uk/id/eprint/89689/1/__smbhome.uscs.susx.ac.uk_tjk30_Documents_paper_Feb16-RR.pdf
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Cites Work
- Optimal Stopping and the American Put
- Optimal Hedging of American Options in Discrete Time
- Option pricing: A simplified approach
- THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
- The implication of missing the optimal-exercise time of an American option
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Convexity of the optimal stopping boundary for the American put option
- An approximate moving boundary method for American option pricing
- Characterization of the American Put Option Using Convexity
- Robust Pricing of the American Put Option: A Note on Richardson Extrapolation and the Early Exercise Premium
- Pricing American-Style Derivatives with European Call Options
- Title not available (Why is that?)
- Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
- A Componentwise Splitting Method for Pricing American Options Under the Bates Model
- A simple iterative method for the valuation of American options
- IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS
- A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
- Analytical approximations for the critical stock prices of American options: a performance comparison
Cited In (5)
- The risk premium that never was: a fair value explanation of the volatility spread
- Multivariate FX models with jumps: triangles, quantos and implied correlation
- An improved least squares Monte Carlo valuation method based on heteroscedasticity
- VIX derivatives, hedging and vol-of-vol risk
- Fast and accurate calculation of American option prices
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