A front-fixing finite element method for the valuation of American options
AD Holmes, H Yang - SIAM journal on scientific computing, 2008 - SIAM
A front-fixing finite element method is developed for the valuation of American options on
stocks. Stability and solution nonnegativity are established under some appropriate …
stocks. Stability and solution nonnegativity are established under some appropriate …
Finite element error estimates for a nonlocal problem in American option valuation
Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation Page 1
FINITE ELEMENT ERROR ESTIMATES FOR A NONLOCAL PROBLEM IN AMERICAN OPTION …
FINITE ELEMENT ERROR ESTIMATES FOR A NONLOCAL PROBLEM IN AMERICAN OPTION …
Exercisability randomization of the American option
G Leduc - Stochastic analysis and applications, 2008 - Taylor & Francis
The valuation of American options is an optimal stopping time problem which typically leads
to a free boundary problem. We introduce here the randomization of the exercisability of the …
to a free boundary problem. We introduce here the randomization of the exercisability of the …
[图书][B] Bewertung personalintensiver Dienstleistungsunternehmen: die Integration von intellektuellem Kapital in die Unternehmensbewertung
D Dreyer - 2013 - books.google.com
Dirk Dreyer analysiert personalintensive Dienstleistungsunternehmen, erarbeitet eine
umfassende Dienstleistungsdefinition und zeigt, dass der Realoptionsansatz zur Integration …
umfassende Dienstleistungsdefinition und zeigt, dass der Realoptionsansatz zur Integration …
American option pricing and penalty methods
K Zhang - 2006 - theses.lib.polyu.edu.hk
The main purpose of this thesis is to study penalty approaches to American option pricing
problems. We consider penalty approaches to pricing plain American options, American …
problems. We consider penalty approaches to pricing plain American options, American …
Numerical methods for interest rate derivatives
H Zhou - 2011 - theses.lib.polyu.edu.hk
It is well known that interest rate market is an important part of the financial market, and
many models have been proposed to fit the market. In this research, we study numerical …
many models have been proposed to fit the market. In this research, we study numerical …
[PDF][PDF] MASTER OF SCIENCE BY DISSERTATION PROPOSAL: A COMPARISON OF NUMERICAL TECHNIQUES FOR AMERICAN OPTION PRICING
S RANDELL - globalriskguard.com
A call (or put) option is a contract which affords its holder the right to buy (or sell) a specified
underlying asset for a specified price (the strike price K) at or until (depending on the type of …
underlying asset for a specified price (the strike price K) at or until (depending on the type of …
[PDF][PDF] R utcor Research R eport
A Prékopaa, T Szántaib - rutcor.rutgers.edu
The paper further develops, both from the theoretical and numerical points of view the
analytic valuation of the American options, initiated by Geske and Johnson (1984) for the …
analytic valuation of the American options, initiated by Geske and Johnson (1984) for the …