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Alobaidi, G., Mallier, R. (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Alobaidi, G., Mallier, R. (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Alobaidi, Ghada, Mallier, Roland (2001)
Journal of Applied Mathematics
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Mallier, Roland (2002)
Journal of Applied Mathematics
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Alobaidi, Ghada, Mallier, Roland (2006)
Boundary Value Problems [electronic only]
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Meyer, G.H. (1998)
Acta Mathematica Universitatis Comenianae. New Series
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Alobaidi, Ghada, Mallier, Roland (2002)
Serdica Mathematical Journal
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∗This research, which was funded by a grant from the Natural Sciences and Engineering Research Council of Canada, formed part of G.A.’s Ph.D. thesis [1]. In this paper we use a Monte Carlo scheme to find the returns that an uninformed investor might expect from an American option if he followed one of several näıve exercise strategies rather than the optimal exercise strategy. We consider several such strategies that an ill-advised investor might follow. We also consider...
Meyer, G.H. (2001)
Acta Mathematica Universitatis Comenianae. New Series
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Alobaidi, G, Mallier, R. (2009)
Acta Mathematica Universitatis Comenianae. New Series
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Shahgholian, H. (2004)
Zapiski Nauchnykh Seminarov POMI
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Jandačka, Martin, Ševčovič, Daniel (2005)
Journal of Applied Mathematics
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Suzuki, Atsuo, Sawaki, Katsushige (2009)
Journal of Applied Mathematics and Decision Sciences
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Xu, Chenglong, Kwok, Yue Kuen (2005)
Journal of Applied Mathematics
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Huang, Guoan, Deng, Guohe, Huang, Lihong (2009)
Journal of Applied Mathematics and Decision Sciences
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