Add to ORKGPricing single asset American options is a hard problem in mathematical finance. There are no closed...
The virtue of an American option is that it can be exercised at any time. This right is particularly...
Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdad...
We introduce a new utility-based approach to pricing European and American options. In so doing, we ...
We introduce a new utility-based approach to pricing European and American options. In so doing, we ...
We introduce a new utility-based approach to pricing European and American options. In so doing, we ...
We introduce a new utility-based approach to pricing European and American options. In so doing, we ...
AbstractThe European option with transaction costs is studied. The cost of making a transaction is t...
The model presents the valuation of an American Put option by using a duplicating portfolio consisti...
The model presents the valuation of an American Put option by using a duplicating portfolio consisti...
A fast numerical algorithm is developed to price European options with proportional transaction cost...
A fast numerical algorithm is developed to price European options with proportional transaction cos...
We present a new model of stopping times and American options. In so doing, we solve the free-bounda...
We synthesize and discuss some new developments in econophysics. In doing so, we focus on option pri...
We present a new model of stopping times and American options. In so doing, we solve the free-bounda...
Pricing single asset American options is a hard problem in mathematical finance. There are no closed...
The virtue of an American option is that it can be exercised at any time. This right is particularly...
Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdad...
We introduce a new utility-based approach to pricing European and American options. In so doing, we ...
We introduce a new utility-based approach to pricing European and American options. In so doing, we ...
We introduce a new utility-based approach to pricing European and American options. In so doing, we ...
We introduce a new utility-based approach to pricing European and American options. In so doing, we ...
AbstractThe European option with transaction costs is studied. The cost of making a transaction is t...
The model presents the valuation of an American Put option by using a duplicating portfolio consisti...
The model presents the valuation of an American Put option by using a duplicating portfolio consisti...
A fast numerical algorithm is developed to price European options with proportional transaction cost...
A fast numerical algorithm is developed to price European options with proportional transaction cos...
We present a new model of stopping times and American options. In so doing, we solve the free-bounda...
We synthesize and discuss some new developments in econophysics. In doing so, we focus on option pri...
We present a new model of stopping times and American options. In so doing, we solve the free-bounda...
Pricing single asset American options is a hard problem in mathematical finance. There are no closed...
The virtue of an American option is that it can be exercised at any time. This right is particularly...
Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdad...