Add to ORKGThis article introduces a general quadratic approximation scheme for pricing American options based on stochastic volatility and double jump processes. This quadratic approximation scheme is a generalization of the Barone-Adesi and Whaley approach and nests several option models. Numerical results show that this quadratic approximation scheme is efficient and useful in pricing America
AbstractIn this paper, an effectively computable approximation of the price of an American option in...
The well-known approximation formula by Barone-Adesi and Whaley (BAW) for pricing American options w...
American options, stochastic volatility, stochastic interest rates, asymptotic approximation.
[[abstract]]This article introduces a general quadratic approximation scheme for pricing American op...
This paper provides an efficient and accurate hybrid method to price American standard options in ce...
This paper presents a method to solve the American option pricing problem in the Black Scholes frame...
Analytical tractability is one of the challenges faced by many alternative models that try to genera...
Analytical tractability is one of the challenges faced by many alternative models that try to genera...
The mathematical model for computing the value of European options has been discovered and known as ...
In this study, a comparative analysis of numerical and approximation methods for pricing American op...
This thesis advances the research on the quadrature (QUAD) method. We aim to make it more computatio...
We present a quasi-analytical method for pricing multi-dimensional American options based on interpo...
Many e±cient and accurate analytical methods for pricing American options now exist. However, while ...
This paper looks at adapting a recent approach found in the literature for pricing short-term Americ...
This paper gives a tree-based method for pricing American options in models where the stock price fo...
AbstractIn this paper, an effectively computable approximation of the price of an American option in...
The well-known approximation formula by Barone-Adesi and Whaley (BAW) for pricing American options w...
American options, stochastic volatility, stochastic interest rates, asymptotic approximation.
[[abstract]]This article introduces a general quadratic approximation scheme for pricing American op...
This paper provides an efficient and accurate hybrid method to price American standard options in ce...
This paper presents a method to solve the American option pricing problem in the Black Scholes frame...
Analytical tractability is one of the challenges faced by many alternative models that try to genera...
Analytical tractability is one of the challenges faced by many alternative models that try to genera...
The mathematical model for computing the value of European options has been discovered and known as ...
In this study, a comparative analysis of numerical and approximation methods for pricing American op...
This thesis advances the research on the quadrature (QUAD) method. We aim to make it more computatio...
We present a quasi-analytical method for pricing multi-dimensional American options based on interpo...
Many e±cient and accurate analytical methods for pricing American options now exist. However, while ...
This paper looks at adapting a recent approach found in the literature for pricing short-term Americ...
This paper gives a tree-based method for pricing American options in models where the stock price fo...
AbstractIn this paper, an effectively computable approximation of the price of an American option in...
The well-known approximation formula by Barone-Adesi and Whaley (BAW) for pricing American options w...
American options, stochastic volatility, stochastic interest rates, asymptotic approximation.