Exercise regions of American options on several assets
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Louberge, Henri & Villeneuve, Stephane & Chesney, Marc, 2002.
"Long-term risk management of nuclear waste: a real options approach,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 27(1), pages 157-180, November.
- CHESNEY, Marc & LOUBERGE, Henri & VILLENEUVE, Stéphane, 2001. "Long-term risk management of nuclear waste : a real options approach," Les Cahiers de Recherche 767, HEC Paris.
- Henri Loubergé & Stéphane Villeneuve & Marc Chesney, 2002. "Long-Term Risk Management of Nuclear Waste: A Real Options Approach," Working Papers hal-00594373, HAL.
- Décamps, Jean-Paul & Mariotti, Thomas & Villeneuve, Stéphane, 2000.
"Investment Timing under Incomplete Information,"
IDEI Working Papers
115, Institut d'Économie Industrielle (IDEI), Toulouse, revised Apr 2004.
- Décamps, Jean-Paul & Mariotti, Thomas & Villeneuve, Stephane, 2003. "Investment timing under incomplete information," LSE Research Online Documents on Economics 19325, London School of Economics and Political Science, LSE Library.
- Jean-Paul Decamps & Thomas Mariotti & Stephane Villeneuve, 2003. "Investment Timing under Incomplete Information," STICERD - Theoretical Economics Paper Series 444, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Rombouts, Jeroen V.K. & Stentoft, Lars, 2011.
"Multivariate option pricing with time varying volatility and correlations,"
Journal of Banking & Finance,
Elsevier, vol. 35(9), pages 2267-2281, September.
- Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Multivariate Option Pricing with Time Varying Volatility and Correlations," Cahiers de recherche 1020, CIRPEE.
- Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Multivariate Option Pricing with Time Varying Volatility and Correlations," CREATES Research Papers 2010-19, Department of Economics and Business Economics, Aarhus University.
- Jeroen Rombouts & Lars Peter Stentoft, 2010. "Multivariate Option Pricing With Time Varying Volatility and Correlations," CIRANO Working Papers 2010s-23, CIRANO.
- ROMBOUTS, Jeroen J. K & STENTOFT, Lars, 2010. "Multivariate option pricing with time varying volatility and correlations," CORE Discussion Papers 2010020, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Masahiko Egami & Tadao Oryu, 2010. "Options on Multiple Assets in a Mean-Reverting Model," Discussion papers e-10-005, Graduate School of Economics Project Center, Kyoto University.
- Nishihara, Michi, 2014. "Preemptive investment game with alternative projects," Economic Modelling, Elsevier, vol. 43(C), pages 124-135.
- Bobtcheff, Catherine & Villeneuve, Stéphane, 2010.
"Technology choice under several uncertainty sources,"
European Journal of Operational Research,
Elsevier, vol. 206(3), pages 586-600, November.
- BOBTCHEFF Catherine & VILLENEUVE Stephane, 2006. "Irreversible Investment in Competitive Projects: A New Motive for Waiting to Invest," LERNA Working Papers 06.20.213, LERNA, University of Toulouse.
- Ken-ichi Mitsui & Yoshio Tabata, 2005. "Wavelet based Multi-grid analysis, Wavelet Galerkin method and their Applications to American option: A Survey," Discussion Papers in Economics and Business 05-26, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
More about this item
KeywordsOptimal stopping; free boundary problems; American options;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:3:y:1999:i:3:p:295-322. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.