Zobrazeno 1 - 10 of 79 pro vyhledávání: '"Nieuwenhuis, J.W."'
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3
A tree-based method to price American options in the Heston model
Autor: Vellekoop, M.H., Nieuwenhuis, J.W.
Publikováno v: Journal of Computational Finance, 13(1), 1-21
We develop an algorithm to price American options oil assets that follow the stochastic volatility model defined by Heston. We use art approach which is based on a modification of a combined tree for stock prices and volatilities, where the number of
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=narcis______::6976c59b94faf5d72ebd024efef04e73
https://research.rug.nl/en/publications/4e282702-8c64-4b20-ac3b-1dfdfe1030c3
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4
The early exercise premium for American put options on stocks with dividends
Autor: Vellekoop, M., Nieuwenhuis, J.W.
The difference between an American put option and its European counterpart has been characterized in terms of a simple integral expression which can be used to calculate the optimal exercise boundary in a recursive manner, if Black-Scholes dynamics a
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=narcis______::d8e3c7971cb0086eef6a592305639e9e
https://dare.uva.nl/personal/pure/en/publications/the-early-exercise-premium-for-american-put-options-on-stocks-with-dividends(4b0dfcaa-4721-4844-98fe-cc16ff7ee40d).html
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5
Cash dividends and futures prices on discontinuous filtrations
Autor: Vellekoop, M.H., Nieuwenhuis, J.W.
We derive a general formula for the futures price process without the restriction that the assets used in the future margin account are continuous and of finite variation. To do so, we model tradeable securities with dividends which are not necessari
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=narcis______::1b904a727b62bda52746ecd441546e78
https://research.utwente.nl/en/publications/cash-dividends-and-futures-prices-on-discontinuous-filtrations(c73d626c-272e-43d2-8e6a-caf8e53ae666).html
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6
Modelling of tradeable securities with dividends
Autor: Vellekoop, M.H., Nieuwenhuis, J.W.
Publikováno v: Proceedings of the QMF 2006
We propose a generalized framework for the modeling of tradeable securities with dividends which are not necessarily cash dividends at fixed times or continuously paid dividends. In our setup the dividend processes are only required to be semi-martin
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=narcis______::293529b444cef703f03ef5caff08e9dc
https://research.utwente.nl/en/publications/modelling-of-tradeable-securities-with-dividends(e744adb6-f3d9-452a-85a5-ece4079afb09).html
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7
Consistent modeling of dividends and futures
Autor: Vellekoop, M.H., Nieuwenhuis, J.W.
Publikováno v: Proceedings International Conference on Applied Mathematics 2005, 279-291
STARTPAGE=279;ENDPAGE=291;TITLE=Proceedings International Conference on Applied Mathematics 2005
We propose a framework for the modeling of futures and dividends, based on the concept of tradeable securities. We show how dividends can be incorporated in a consistent manner, both for the case of continuous dividend payments, and in the case of ca
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=narcis______::8125c03948e5de49bb010253f7e182bc
https://research.utwente.nl/en/publications/consistent-modeling-of-dividends-and-futures(e651eadb-8f7f-4912-be16-5a2366118cf2).html
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8
A Farkas lemma for behavioral inequalities
Autor: ten Dam, A.A., Nieuwenhuis, J.W., Blondel, V.D., Megretski, A.
Publikováno v: Unsolved problems in mathematical systems and control theory, 40-43
STARTPAGE=40;ENDPAGE=43;TITLE=Unsolved problems in mathematical systems and control theory
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=narcis______::432e5cab8a827794bf322f4783f4b0e7
https://research.rug.nl/en/publications/2edadd0a-c7e6-4bf2-a502-d16b6a15bceb
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10
Americal options analyzed differently
Autor: Nieuwenhuis, J.W.
In this note we analyze in a discrete-time context and with a finite outcome space American options starting with the idea that every tradable should be a martingale under a certain measure. We believe that in this way American options become more un
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=narcis______::db37a41bf788ed3c361a43bcc5816ddb
https://research.rug.nl/en/publications/fdb29bd1-12a5-435f-9bba-f72b6a9fa3ed
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