an anonymous referee, whose corrections have significantly improved this article, as well as the helpful pro-graming codes and comments provided by Nico Temme. Of course, all the remaining errors are the author’s responsibility exclusively
The views expressed here are the authors ’ and not necessarily those of the Federal Reserve Bank of ...
This paper estimates a price elasticity using a flexible demand specification on survey data where p...
This paper considers a modified constant elasticity of variance (MCEV) model. This model uses the fa...
We consider the problem of pricing American options on an underlying described by the constant elast...
常方差彈性(CEV) 模型能夠刻畫波動率微笑的優點使之成為期權定價中的實用工具,然而它在應用到美式衍生工具時面臨分析上及計算上的挑戰。現行的解析方法是對代表著期權價格函數和其最佳履約曲線的自由邊界問題...
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any m...
<p>The real options approach often assumes that investment projects last indefinitely, which is an u...
The constant elasticity of variance (CEV) model is a practical approach to option pricing by fitting...
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use,...
This paper is based on work undertaken in 1998 by Ian Alexander and Rebecca Burdon (both then at Lon...
This paper expresses the constant elasticity of variance option pricing formula in terms of the nonc...
The virtue of an American option is that it can be exercised at any time. This right is particularly...
In this thesis we consider the method of Kristensen and Mele (2011, J. of Financial Economics) to ap...
In contrast to the constant exercise boundary assumed by Broadie and Detemple (1996) [Broadie, M., D...
This paper is the first attempt to empirically test a numerical solu-tion to price American options ...
The views expressed here are the authors ’ and not necessarily those of the Federal Reserve Bank of ...
This paper estimates a price elasticity using a flexible demand specification on survey data where p...
This paper considers a modified constant elasticity of variance (MCEV) model. This model uses the fa...
We consider the problem of pricing American options on an underlying described by the constant elast...
常方差彈性(CEV) 模型能夠刻畫波動率微笑的優點使之成為期權定價中的實用工具,然而它在應用到美式衍生工具時面臨分析上及計算上的挑戰。現行的解析方法是對代表著期權價格函數和其最佳履約曲線的自由邊界問題...
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any m...
<p>The real options approach often assumes that investment projects last indefinitely, which is an u...
The constant elasticity of variance (CEV) model is a practical approach to option pricing by fitting...
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use,...
This paper is based on work undertaken in 1998 by Ian Alexander and Rebecca Burdon (both then at Lon...
This paper expresses the constant elasticity of variance option pricing formula in terms of the nonc...
The virtue of an American option is that it can be exercised at any time. This right is particularly...
In this thesis we consider the method of Kristensen and Mele (2011, J. of Financial Economics) to ap...
In contrast to the constant exercise boundary assumed by Broadie and Detemple (1996) [Broadie, M., D...
This paper is the first attempt to empirically test a numerical solu-tion to price American options ...
The views expressed here are the authors ’ and not necessarily those of the Federal Reserve Bank of ...
This paper estimates a price elasticity using a flexible demand specification on survey data where p...
This paper considers a modified constant elasticity of variance (MCEV) model. This model uses the fa...