Calibration to American options: numerical investigation of the de-Americanization method-Reference-Cited by-同舟云学术

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Calibration to American options: numerical investigation of the de-Americanization method

Published:2018-02-12 Issue:7 Volume:18 Page:1091-1113
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Burkovska O.¹^ORCID,Gass M.²,Glau K.²^ORCID,Mahlstedt M.²^ORCID,Schoutens W.³,Wohlmuth B.¹

Affiliation:

1. Institute for Numerical Mathematics, Technische Universität München, 85748 Garching b., München, Germany.

2. Chair of Mathematical Finance, Technische Universität München, 85748 Garching b., München, Germany.

3. Department of Mathematics, K.U. Leuven, Celestijnenlaan 200B (box 2400), B-3001, Leuven, Belgium.

Funder

Deutsche Forschungsgemeinschaft

KPMG Center of Excellence in Risk Management

Deutsche Forschungsgemeinschaft (DFG) and Austrian research fund (FWF)

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2017.1417622

Reference32 articles.

1. Computational Methods for Option Pricing

2. A numerical method to estimate the parameters of the CEV model implied by American option prices: Evidence from NYSE

3. The saga of the American put

4. The Valuation of American Put Options

Cited by 7 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Assessing the Impact of Credit Risk on Equity Options via Information Contents and Compound Options;Risks;2023-10-20

2. NN de-Americanization: A Fast and Efficient Calibration Method for American-Style Options;SSRN Electronic Journal;2023

3. Do Investors Hedge Against Green Swans? Option-Implied Risk Aversion to Wildfires;SSRN Electronic Journal;2022

4. On a Neural Network to Extract Implied Information from American Options;Applied Mathematical Finance;2021-09-03

5. The Impact of Credit Risk on Equity Options;SSRN Electronic Journal;2020

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