Výsledky vyhledávání - "European and American options"

Numerical stability of a hybrid method for pricing options

Autor: Lucia Caramellino, Antonino Zanette, Maya Briani, Giulia Terenzi

Publikováno v: International Journal of Theoretical and Applied Finance
International Journal of Theoretical and Applied Finance, World Scientific Publishing, 2019, pp.1950036. ⟨10.1142/S0219024919500365⟩
International journal of theoretical and applied finance (2019). doi:10.1142/S0219024919500365
info:cnr-pdr/source/autori:Briani M.; Caramellino L.; Terenzi G.; Zanette A./titolo:NUMERICAL STABILITY of A HYBRID METHOD for PRICING OPTIONS/doi:10.1142%2FS0219024919500365/rivista:International journal of theoretical and applied finance/anno:2019/pagina_da:/pagina_a:/intervallo_pagine:/volume
International Journal of Theoretical and Applied Finance, 2019, pp.1950036. ⟨10.1142/S0219024919500365⟩

We develop and study stability properties of a hybrid approximation of functionals of the Bates jump model with stochastic interest rate that uses a tree method in the direction of the volatility and the interest rate and a finite-difference approach

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::634458c0a35cfaf70f892d04ec0394a2
https://hal.archives-ouvertes.fr/hal-02380723/file/Bates-Hybrid-revised-1.pdf

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A hybrid tree/finite-difference approach for Heston-Hull-White type models

Autor: Maya Briani, Antonino Zanette, Lucia Caramellino

Publikováno v: Journal of computational finance 21 (2017): 1–45. doi:10.21314/JCF.2017.333
info:cnr-pdr/source/autori:M. Briani, L. Caramellino, A. Zanette/titolo:A hybrid tree%2Ffinite-difference approach for Heston-Hull-White type models/doi:10.21314%2FJCF.2017.333/rivista:Journal of computational finance/anno:2017/pagina_da:1/pagina_a:45/intervallo_pagine:1–45/volume:21

We study a hybrid tree/finite-difference method which permits to obtain efficient and accurate European and American option prices in the Heston Hull-White and Heston Hull-White2d models. Moreover, as a by-product, we provide a new simulation scheme

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d3599210c3f50b13958132bf6b274020
http://www.cnr.it/prodotto/i/343553

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A hybrid approach for the implementation of the Heston model

Autor: Maya Briani, Antonino Zanette, Lucia Caramellino

Publikováno v: IMA journal of management mathematics
28 (2017): 467–500. doi:10.1093/imaman/dpv032
info:cnr-pdr/source/autori:Briani M., Caramellino L., Zanette A./titolo:A hybrid approach for the implementation of the Heston model/doi:10.1093%2Fimaman%2Fdpv032/rivista:IMA journal of management mathematics (Print)/anno:2017/pagina_da:467/pagina_a:500/intervallo_pagine:467–500/volume:28
IMA Journal of Management Mathematics
IMA Journal of Management Mathematics, Oxford University Press (OUP), 2017, 28 (4), pp.467-500. ⟨10.1093/imaman/dpv032⟩
IMA Journal of Management Mathematics, 2017, 28 (4), pp.467-500. ⟨10.1093/imaman/dpv032⟩

International audience; We propose a hybrid tree-finite difference method in order to approximate the Heston model. We prove the convergence by embedding the procedure in a bivariate Markov chain and we study the convergence of European and American

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::15f34c0a4ab6e9b10f8b15b3fa5b6421
https://publications.cnr.it/doc/287749

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Pricing of american and european options using the Markov decision processes

Autor: Slawomir Mentzen

Publikováno v: Acta Universitatis Nicolai Copernici, Ekonomia. 43(2):211-220

The paper describes the theoretical foundations of Markov decision processes (MDP), presents the pricing algorithms for European and American call and put options using the MDP. Results were compared with results obtained using the Black-Scholes mode

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=od_______645::79f75e214fd43ca78c28827eaf5999e9
http://www.aunc.ekonomia.umk.pl/Pliki/2012/15_Mentzen.pdf

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Robust Spectral Methods for Solving Option Pricing Problems

Autor: Pindza, Edson

Doctor Scientiae - DSc
Robust Spectral Methods for Solving Option Pricing Problems by Edson Pindza PhD thesis, Department of Mathematics and Applied Mathematics, Faculty of Natural Sciences, University of the Western Cape Ever since the inventio

Externí odkaz: http://hdl.handle.net/11394/4092

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