Efficient Pricing and Model Calibration With Large Panels of Options.
We introduce a consistent method for pricing panels of options through time with a single simulation. The approach is particularly useful for pricing options with early exercise features and allows calibrating flexible option pricing models to large panels of such options. We showcase this by calibr...
| Publicado en: | Journal of Financial Econometrics Vol. 23; no. 5; pp. 1 - 37 |
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| Autores principales: | , |
| Formato: | Artículo |
| Publicado: |
Oxford University Press / USA
2025
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |