A new practical approach for the analysis of American (bond) options is developed which is a combination of the closed form solutions and binomial lattice models. The model is calibrated to the observed term structure of rates and traded volatilities and is arbitrage free. The convergence is very fast, but numerically intensive. By extrapolation the near exact premium of an American (bond) option can be calculated
This study develops a quasi-closed-form solution for the valuation of an American put option and the...
We study fnite-maturity American equity options in a stochastic mean-reverting diffusive interest ra...
American options, stochastic volatility, stochastic interest rates, asymptotic approximation.
We value American options on bonds using the Geske-Johnsan (1992). The method requires the valuation...
We value American options on bonds using the Geske-Johnsan (1992). The method requires the valuation...
In this thesis I introduce a new methodology for pricing American options when the underlying model ...
American-style options are contracts traded on financial markets. These are derivatives of some unde...
American-style options are contracts traded on financial markets. These are derivatives of some unde...
University of Technology Sydney. Faculty of Business.The American option pricing problem lies on the...
PhDIn this thesis I introduce a new methodology for pricing American options when the underlying mo...
Dans cet article nous proposons des bornes inférieures et supérieures sur les prix d'options américa...
A valuation model is presented for pricing an American style call option on the yield of Treasury bo...
American options are the most commonly traded financial derivatives in the market. Pricing these opt...
American options are the most commonly traded financial derivatives in the market. Pricing these opt...
This study develops a quasi-closed-form solution for the valuation of an American put option and the...
This study develops a quasi-closed-form solution for the valuation of an American put option and the...
We study fnite-maturity American equity options in a stochastic mean-reverting diffusive interest ra...
American options, stochastic volatility, stochastic interest rates, asymptotic approximation.
We value American options on bonds using the Geske-Johnsan (1992). The method requires the valuation...
We value American options on bonds using the Geske-Johnsan (1992). The method requires the valuation...
In this thesis I introduce a new methodology for pricing American options when the underlying model ...
American-style options are contracts traded on financial markets. These are derivatives of some unde...
American-style options are contracts traded on financial markets. These are derivatives of some unde...
University of Technology Sydney. Faculty of Business.The American option pricing problem lies on the...
PhDIn this thesis I introduce a new methodology for pricing American options when the underlying mo...
Dans cet article nous proposons des bornes inférieures et supérieures sur les prix d'options américa...
A valuation model is presented for pricing an American style call option on the yield of Treasury bo...
American options are the most commonly traded financial derivatives in the market. Pricing these opt...
American options are the most commonly traded financial derivatives in the market. Pricing these opt...
This study develops a quasi-closed-form solution for the valuation of an American put option and the...
This study develops a quasi-closed-form solution for the valuation of an American put option and the...
We study fnite-maturity American equity options in a stochastic mean-reverting diffusive interest ra...
American options, stochastic volatility, stochastic interest rates, asymptotic approximation.
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