Shout options: A framework for pricing contracts which can be modified by the investor
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Publication:5946736
DOI10.1016/S0377-0427(00)00551-3zbMath1017.91060MaRDI QIDQ5946736
Peter A. I. Forsyth, H. Windcliff, Kenneth Vetzal
Publication date: 14 October 2001
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
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Related Items (15)
Implicit-explicit Runge-Kutta methods for financial derivatives pricing models ⋮ A penalty method for American options with jump diffusion processes ⋮ A parabolic variational inequality arising from the valuation of strike reset options ⋮ Analysis of Quantization Error in Financial Pricing via Finite Difference Methods ⋮ Exact solutions for a strike reset put option and a shout call option ⋮ Valuation of segregated funds: shout options with maturity extensions. ⋮ A note on options and bubbles under the CEV model: implications for pricing and hedging ⋮ Asymptotic analysis of shout options close to expiry ⋮ Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature ⋮ An object-oriented framework for valuing shout options on high-performance computer architectures ⋮ Infinite reload options: pricing and analysis ⋮ OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT ⋮ Smoothing with positivity-preserving Padé schemes for parabolic problems with nonsmooth data ⋮ INTEGRAL EQUATION FORMULATION FOR SHOUT OPTIONS ⋮ Numerical Methods and Volatility Models for Valuing Cliquet Options
Cites Work
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- An object-oriented framework for valuing shout options on high-performance computer architectures
- A second order backward difference method with variable steps for a parabolic problem
- Penalty methods for American options with stochastic volatility
- Valuation of segregated funds: shout options with maturity extensions.
- Valuation of Commodity-Based Swing Options
- Some mathematical results in the pricing of American options
- A finite element approach to the pricing of discrete lookbacks with stochastic volatility
- Volatility skews and extensions of the Libor market model
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