A Longstaff and Schwartz approach to the early election problem

DOI10.1155/2012/287579zbMath1254.91129OpenAlexW2062574024WikidataQ58697767 ScholiaQ58697767MaRDI QIDQ1929895

Dharma Lesmono, Elliot Tonkes

Publication date: 10 January 2013

Published in: Advances in Decision Sciences (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/ae0bbdb88ea0413efb85418e1f9e41671e675171

zbMATH Keywords

optimal exercise boundaryAmerican option valuationelection timing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Voting theory (91B12) Derivative securities (option pricing, hedging, etc.) (91G20) History, political science (91F10)

Cites Work

• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
• A survey of numerical methods for stochastic differential equations
• Opportunistic timing and manipulation in Australian federal elections
• Numerical computation of the free boundary for the two-dimensional Stefan problem by space-time finite elements
• An analysis of a least squares regression method for American option pricing
• A Dynamic Programming Procedure for Pricing American-Style Asian Options
• A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
• Optimal exercise boundary for an American put option
• A Note on a Moving Boundary Problem Arising in the American Put Option
• Pricing high-dimensional Bermudan options using the stochastic grid method
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
• An exact and explicit solution for the valuation of American put options
• STOCHASTIC DYNAMIC PROGRAMMING FOR ELECTION TIMING: A GAME THEORY APPROACH
• Optimal stopping, free boundary, and American option in a jump-diffusion model
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A Longstaff and Schwartz approach to the early election problem