17 research outputs found
A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
Full text linkCombining hazard rates with the CreditGrades model: A hybrid method to value CDS contracts
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On a Numerical Approximation Scheme for Construction of the Early Exercise Boundary for a Class of Nonlinear Black–Scholes Equations
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On a Numerical Approximation Scheme for Construction of the Early Exercise Boundary for a Class of Nonlinear Black-Scholes Equations
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