American option
Bounds and robust hedging of the American option
... highly skewed; the maximum loss is in several of the cases less than one standard deviation below zero. The rational bounds hedge tends to have a smaller left hand tail than the delta-gamma hedge. For hedgers concerned ...
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A Simple Numerical Approach for Solving American Option Problems
... evaluate American options in this ...computed option values at each time step if ...general American option problems such as two-factor American option [12], [25], and two-factor ...
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CPU-GPU Hybrid Parallel Binomial American Option Pricing
... binomial American option pricing problem on the Quadro NVS 160M is very different from working with the Intel P8600, because of the SIMT (single instruction multiple threads) execution model of the NVIDIA ...
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Parallel Binomial American Option Pricing under Proportional Transaction Costs
... an American option when proportional transac- tion costs apply to trading in the underlying ...parallel option pricing has been well studied, none of the existing approaches takes transaction costs ...
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Valuation of Asian American Option Using a Modified Path Simulation Method
... the American option is using ...the American option effi- ciently (see Dyer and Jacob [6], Geske and Shastri [7], Tiley ...the American option more ...the option price is ...
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Some Properties for the American Option Pricing Model
... various option-pricing ...the American option model as well as its generalization, the existence and uniqueness are studied by many researchers ( here just a few exam- ples, ...the American ...
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American option: an optimal stopping problem
... the American option can exercise the option at any before the option expires, traders are more attracted to this option and mathematicians as a result of this interpret the ...
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Second order integro differential parabolic variational inequalities arising from the valuation of American option
... parabolic variational inequalities with integro-differential terms which arise from the valuation of American option. The authors use the penalty method to construct a sequence of approximation parabolic ...
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Essays on multi asset jump diffusion models : estimation, asset allocation and American option pricing
... pricing American arithmetic aver- age options with a large number of underlying ...resultant American geometric average option is used to obtain a low-biased estimator for the corresponding ...
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Quadratic Hedging And Two-colours Rainbow American Options
... Rainbow American option, unique solutions of a two-dimensional stationary variational ...Rainbow American options in the 2- dimensionnal Black-Scholes model, as in [19], we compute an approximation ...
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A Quasi analytical Interpolation Method for Pricing American Options under General Multi dimensional Diffusion Processes
... value American options, an idea first proposed for European options by Boyle ...the American option price, usually by making various approximations to the valuation partial differential ...
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Valuation of European and American Options under Variance Gamma Process
... indices option, conditionally on the gam- ma time change is log normally ...of American plain vanilla options, we apply the path simulation model which is similar with that apply to American options ...
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Asymptotic analysis of American call options
... value American options, the idea is that we should look for a function C(S, t) that satisfies the Black-Scholes equation in the region of the (S, t)-plane, where the option should not be exercised and ...
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Pricing American Options Using Transition Probabilities: A Dynamical Systems Approach
... an American option applying Samuelson’s formula ([2] [18]), using the transition probability density to generate the function corresponding to the physical measure as the solution of a Fokker- Planck type ...
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On the regularity of American options with regime switching uncertainty
... finding a solution to an American option problem. However, in order to establish the desired connection, one typically requires continuity of the value function v. To this end, a number of subtle regularity ...
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The Model Free Equivalence Condition for American Spread Options
... spread option does not exist, a modeler should rely on a numerical ...an American option early, and the equivalence condition (Proposition 1) is satisfied, it is very likely that his/her program has ...
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Study on Chinese Rural Drinking Water Option and Its Pricing
... European option of rural drinking water and does not consider the American ...water option based on theoretical basis of Black-Scholes pricing model without considering the transac- tion investor ...
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Existence and Uniqueness Solution Under Non-Lipschiz Condition of the Mixed Fractional Heston's Model
... the American put option price under the Heston model governed by M H ( mixed fractional Heston model (in short MFH)) for differents values of the Hurst parameter H and we compare the result with the value ...
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Real options analysis in the engineering company practice
... European option and 3,195 CZK for the American ...the option occurs at this point – the values are more unstable even with a relatively small number of iterations (100), they are in the range of ...
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On properties of the American put option under several models
... of American option valuation under the BNS ...the American put problem in both finite and infinite ...of option prices under the BNS ...
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