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Valuing American options by simulation: A simple leastsquares approach
 Review of Financial Studies
, 2001
"... This article presents a simple yet powerful new approach for approximating the value of America11 options by simulation. The kcy to this approach is the use of least squares to estimate the conditional expected payoff to the optionholder from continuation. This makes this approach readily applicable ..."
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Cited by 517 (9 self)
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factor string model of the term structure. One of the most important problems in option pricing theory is the valuation and optimal exercise of derivatives with Americanstyle exercise features. These types of derivatives are found in all major financial markets including the equity, commodity, foreign
OPTIMAL EXERCISE PRICE OF AMERICAN OPTIONS
, 2010
"... Optimal exercise price of American options near expiry This paper investigates American puts on a dividendpaying underlying whose volatility is a function of both time and underlying asset price. The asymptotic behaviour of the critical price near expiry is deduced by means of singular perturbation ..."
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Optimal exercise price of American options near expiry This paper investigates American puts on a dividendpaying underlying whose volatility is a function of both time and underlying asset price. The asymptotic behaviour of the critical price near expiry is deduced by means of singular
Option Pricing: A Simplified Approach
 Journal of Financial Economics
, 1979
"... This paper presents a simple discretetime model for valumg optlons. The fundamental econonuc principles of option pricing by arbitrage methods are particularly clear In this setting. Its development requires only elementary mathematics, yet it contains as a special limiting case the celebrated Blac ..."
Optimal exercise boundary for an American put option
 Appl. Math. Fin
, 1998
"... The optimal exercise boundary near the expiration time is determined for an American put option. It is obtained by using Green's theorem to convert the boundary value problem for the price of the option into an integral equation for the optimal exercise boundary. This integral equation is solve ..."
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Cited by 31 (0 self)
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The optimal exercise boundary near the expiration time is determined for an American put option. It is obtained by using Green's theorem to convert the boundary value problem for the price of the option into an integral equation for the optimal exercise boundary. This integral equation
On the optimal exercise boundaries of swing put options
, 2014
"... We use probabilistic methods to characterise the optimal exercise region of a swing option with put payoff, n exercise rights and finite maturity. The underlying asset’s dynamics is given by a geometric Brownian motion according to the Black & Scholes model. The optimal exercise region of each r ..."
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We use probabilistic methods to characterise the optimal exercise region of a swing option with put payoff, n exercise rights and finite maturity. The underlying asset’s dynamics is given by a geometric Brownian motion according to the Black & Scholes model. The optimal exercise region of each
1 Optimal exercise of executive stock options 1
"... In the absence of frictions if a portfolio strategy replicates the payoff of one unit of a claim, an appropriately scaled strategy replicates any amount of the claim. If assets are priced by arbitrage, the value perunit is invariant to the amount of the asset considered. In particular, in the case ..."
CONTROL OF SELFOPTIMIZING EXERCISE MACHINES
"... Abstract. The control of a one degree of freedom exercise machine is considered. The control objective consists in making the human user exercise in a manner that maximizes his consumption of power. The optimality condition is determined by the muscle mechanics which is assumed to satisfy a forcep ..."
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Cited by 1 (0 self)
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Abstract. The control of a one degree of freedom exercise machine is considered. The control objective consists in making the human user exercise in a manner that maximizes his consumption of power. The optimality condition is determined by the muscle mechanics which is assumed to satisfy a force
On the optimal exercise of swing options in electricity markets
 The Journal of Energy Markets
, 2011
"... Abstract. We study the optimal exercise of a swing option in electricity markets. To this end, we set up a model in terms of a stochastic control problem. In this model, the option can be exercised in continuous time and is subject to a total volume constraint. We analyze some fundamental properties ..."
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Cited by 8 (1 self)
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Abstract. We study the optimal exercise of a swing option in electricity markets. To this end, we set up a model in terms of a stochastic control problem. In this model, the option can be exercised in continuous time and is subject to a total volume constraint. We analyze some fundamental
The duality of optimal exercise and domineering claims: . . .
 STOCHASTICS: AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES
, 2007
"... ..."
Optimal Exercise of Executive Stock Options and
"... 1Preliminary and incomplete. Please do not cite without permission. We would like to thank Peter Carr and Peter Lakner for helpful comments and suggestions. We also thank Rik Sen for research assistance. ..."
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1Preliminary and incomplete. Please do not cite without permission. We would like to thank Peter Carr and Peter Lakner for helpful comments and suggestions. We also thank Rik Sen for research assistance.
Results 1  10
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