Matches in SemOpenAlex for { <https://semopenalex.org/work/W2560532741> ?p ?o ?g. }
Showing items 1 to 94 of
94
with 100 items per page.
- W2560532741 abstract "This study develops a new model called J-am for pricing American options and for determining the related early exercise boundary (EEB). This model is based on a closed-form solution J-formula for pricing European options, defined in the study by Jerbi (Quantitative Finance, 15:2041–2052, 2015). The J-am pricing formula is a solution of the Black & Scholes (BS) PDE with an additional function called f as a second member and with limit conditions adapted to the American option context. The aforesaid function f represents the cash flows resulting from an early exercise of the option. This study develops the theoretical formulas of the early exercise premium value related to three American option pricing models called J-am, BS-am, and Heston-am models. These three models are based on the J-formula by Jerbi (Quantitative Finance, 15:2041–2052, 2015), BS model, and Heston (Rev Financ Stud, 6:327–343, 1993) model, respectively. This study performs a general algorithm leading to the EEB and to the American option price for the three models. After implementing the algorithms, we compare the three aforesaid models in terms of pricing and the EEB curve. In particular, we examine the equivalence between J-am and Heston-am as an extension of the equivalence studied by Jerbi (Quantitative Finance, 15:2041–2052, 2015). This equivalence is interesting since it can reduce a bi-dimensional model to an equivalent uni-dimensional model. We deduce that our model J-am exactly fits the Heston-am one for certain parameters values to be optimized and that all the theoretical results conform with the empirical studies. The required CPU time to compute the solution is significantly less in the case of the J-am model compared with to the Heston-am model." @default.
- W2560532741 created "2016-12-16" @default.
- W2560532741 creator A5050684607 @default.
- W2560532741 date "2016-12-01" @default.
- W2560532741 modified "2023-10-11" @default.
- W2560532741 title "Early exercise premium method for pricing American options under the J-model" @default.
- W2560532741 cites W1963748947 @default.
- W2560532741 cites W1975527087 @default.
- W2560532741 cites W1982849178 @default.
- W2560532741 cites W1983135873 @default.
- W2560532741 cites W1983789212 @default.
- W2560532741 cites W1985333210 @default.
- W2560532741 cites W2003360807 @default.
- W2560532741 cites W2007788643 @default.
- W2560532741 cites W2017297397 @default.
- W2560532741 cites W2064978316 @default.
- W2560532741 cites W2077791698 @default.
- W2560532741 cites W2078991714 @default.
- W2560532741 cites W2094206697 @default.
- W2560532741 cites W2126311658 @default.
- W2560532741 cites W2148080284 @default.
- W2560532741 cites W2163353962 @default.
- W2560532741 cites W3121539357 @default.
- W2560532741 cites W3121914377 @default.
- W2560532741 cites W3122113998 @default.
- W2560532741 cites W3124696154 @default.
- W2560532741 cites W4235097295 @default.
- W2560532741 doi "https://doi.org/10.1186/s40854-016-0042-9" @default.
- W2560532741 hasPublicationYear "2016" @default.
- W2560532741 type Work @default.
- W2560532741 sameAs 2560532741 @default.
- W2560532741 citedByCount "1" @default.
- W2560532741 countsByYear W25605327412023 @default.
- W2560532741 crossrefType "journal-article" @default.
- W2560532741 hasAuthorship W2560532741A5050684607 @default.
- W2560532741 hasBestOaLocation W25605327411 @default.
- W2560532741 hasConcept C101710237 @default.
- W2560532741 hasConcept C105235620 @default.
- W2560532741 hasConcept C118615104 @default.
- W2560532741 hasConcept C144237770 @default.
- W2560532741 hasConcept C149782125 @default.
- W2560532741 hasConcept C151730666 @default.
- W2560532741 hasConcept C162324750 @default.
- W2560532741 hasConcept C163128081 @default.
- W2560532741 hasConcept C166827900 @default.
- W2560532741 hasConcept C187625094 @default.
- W2560532741 hasConcept C194483076 @default.
- W2560532741 hasConcept C2779343474 @default.
- W2560532741 hasConcept C2780069185 @default.
- W2560532741 hasConcept C28826006 @default.
- W2560532741 hasConcept C33923547 @default.
- W2560532741 hasConcept C85393063 @default.
- W2560532741 hasConcept C86803240 @default.
- W2560532741 hasConcept C91602232 @default.
- W2560532741 hasConcept C93045229 @default.
- W2560532741 hasConceptScore W2560532741C101710237 @default.
- W2560532741 hasConceptScore W2560532741C105235620 @default.
- W2560532741 hasConceptScore W2560532741C118615104 @default.
- W2560532741 hasConceptScore W2560532741C144237770 @default.
- W2560532741 hasConceptScore W2560532741C149782125 @default.
- W2560532741 hasConceptScore W2560532741C151730666 @default.
- W2560532741 hasConceptScore W2560532741C162324750 @default.
- W2560532741 hasConceptScore W2560532741C163128081 @default.
- W2560532741 hasConceptScore W2560532741C166827900 @default.
- W2560532741 hasConceptScore W2560532741C187625094 @default.
- W2560532741 hasConceptScore W2560532741C194483076 @default.
- W2560532741 hasConceptScore W2560532741C2779343474 @default.
- W2560532741 hasConceptScore W2560532741C2780069185 @default.
- W2560532741 hasConceptScore W2560532741C28826006 @default.
- W2560532741 hasConceptScore W2560532741C33923547 @default.
- W2560532741 hasConceptScore W2560532741C85393063 @default.
- W2560532741 hasConceptScore W2560532741C86803240 @default.
- W2560532741 hasConceptScore W2560532741C91602232 @default.
- W2560532741 hasConceptScore W2560532741C93045229 @default.
- W2560532741 hasIssue "1" @default.
- W2560532741 hasLocation W25605327411 @default.
- W2560532741 hasLocation W25605327412 @default.
- W2560532741 hasOpenAccess W2560532741 @default.
- W2560532741 hasPrimaryLocation W25605327411 @default.
- W2560532741 hasRelatedWork W2020454653 @default.
- W2560532741 hasRelatedWork W2102692631 @default.
- W2560532741 hasRelatedWork W2560532741 @default.
- W2560532741 hasRelatedWork W2909024759 @default.
- W2560532741 hasRelatedWork W3104970428 @default.
- W2560532741 hasRelatedWork W3121859558 @default.
- W2560532741 hasRelatedWork W3146516062 @default.
- W2560532741 hasRelatedWork W3183442954 @default.
- W2560532741 hasRelatedWork W3208440232 @default.
- W2560532741 hasRelatedWork W3122165503 @default.
- W2560532741 hasVolume "2" @default.
- W2560532741 isParatext "false" @default.
- W2560532741 isRetracted "false" @default.
- W2560532741 magId "2560532741" @default.
- W2560532741 workType "article" @default.