American step options
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Publication:2282524
DOI10.1016/J.EJOR.2019.09.009zbMath1431.91391OpenAlexW2972702818MaRDI QIDQ2282524
Jérôme B. Detemple, Souleymane Laminou Abdou, Franck Moraux
Publication date: 8 January 2020
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-02283374/file/Detemple_LaminouAbdou_Moraux_2019_American_Step_Options.pdf
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
Geometric step options and Lévy models: duality, pides, and semi-analytical pricing ⋮ Demand uncertainty, product differentiation, and entry timing under spatial competition ⋮ Proactive hedging European option pricing with a general logarithmic position strategy
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