Pricing American options by exercise rate optimization
dc.contributor.author | Bayer, Christian | |
dc.contributor.author | Tempone, Raul | |
dc.contributor.author | Wolfers, Sören | |
dc.date.accessioned | 2020-07-21T07:32:26Z | |
dc.date.available | 2019-01-13T09:46:22Z | |
dc.date.available | 2020-07-21T07:32:26Z | |
dc.date.issued | 2020-07-07 | |
dc.identifier.citation | Bayer, C., Tempone, R., & Wolfers, S. (2020). Pricing American options by exercise rate optimization. Quantitative Finance, 1–12. doi:10.1080/14697688.2020.1750678 | |
dc.identifier.issn | 1469-7696 | |
dc.identifier.issn | 1469-7688 | |
dc.identifier.doi | 10.1080/14697688.2020.1750678 | |
dc.identifier.uri | http://hdl.handle.net/10754/630806 | |
dc.description.abstract | A new method for the numerical pricing of American options. | |
dc.description.sponsorship | This work was supported by the King Abdullah University of Science and Technology (KAUST) Office of Sponsored Research (OSR, award URF/1/2584-01-01), the German Research Foundation (DFG, grant BA5484/1) and the Alexander von Humboldt Foundation. R. Tempone and S. Wolfers are members of the KAUST SRI Center for Uncertainty Quantification in Computational Science and Engineering. | |
dc.publisher | Informa UK Limited | |
dc.relation.url | https://www.tandfonline.com/doi/full/10.1080/14697688.2020.1750678 | |
dc.rights | Archived with thanks to Quantitative Finance | |
dc.title | Pricing American options by exercise rate optimization | |
dc.type | Article | |
dc.contributor.department | Applied Mathematics and Computational Science Program | |
dc.contributor.department | Computer, Electrical and Mathematical Sciences & Engineering Division (CEMSE), King Abdullah University of Science and Technology (KAUST), Thuwal, Saudi Arabia | |
dc.contributor.department | Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division | |
dc.contributor.department | Stochastic Numerics Research Group | |
dc.identifier.journal | Quantitative Finance | |
dc.eprint.version | Post-print | |
dc.contributor.institution | Weierstrass Institute for Applied Analysis and Stochastics (WIAS), Berlin, Germany | |
dc.contributor.institution | RWTH Aachen University, Aachen, Germany | |
dc.identifier.pages | 1-12 | |
dc.identifier.arxivid | 1809.07300 | |
kaust.person | Tempone, Raul | |
kaust.person | Wolfers, Sören | |
kaust.grant.number | URF/1/2584-01-01 | |
dc.identifier.eid | 2-s2.0-85087738818 | |
refterms.dateFOA | 2019-01-13T09:46:23Z | |
kaust.acknowledged.supportUnit | Office of Sponsored Research | |
kaust.acknowledged.supportUnit | OSR | |
kaust.acknowledged.supportUnit | SRI Center for Uncertainty Quantification in Computational Science and Engineering. | |
dc.date.published-online | 2020-07-07 | |
dc.date.published-print | 2020-11-01 |
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