de--americanization options
「de--americanization options」熱門搜尋資訊
「de--americanization options」文章包含有：「CalibrationtoAmericanoptions」、「NNde」、「Impliedvolandmodelcalibrationforanamericanoption...」、「CalibrationtoAmericanOptions」、「NumericalInvestigationofthede–AmericanizationMethod」、「implied」、「numericalinvestigationofthede」
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Calibration to American options
https://www.ncbi.nlm.nih.gov
The core idea of de-Americanization is to transfer the available American option data into pseudo-European option prices prior to calibration. This significantly reduces the computational time as well as the complexity of the required pricing technique.
NN de
https://papers.ssrn.com
Neural network (NN) de-Americanization produces fast and accurate pseudo-European option prices from American option market prices.
Implied vol and model calibration for an american option ...
https://quant.stackexchange.co
There are several options: 1) Use what is called De-Americanization: In this case, based on your input dividends (maybe based on other sources ...
Calibration to American Options
https://arxiv.org
The literature mainly discusses pricing methods for American options that are based on Monte Carlo, tree and partial differential equation ...
Numerical Investigation of the de–Americanization Method
https://lirias.kuleuven.be
The motivation behind the de–Americanization methodology is to reduce the complexity as well as to lower the computational cost. In general, it ...
implied
https://quant.stackexchange.co
The aim of the de-Americanization is to find the corresponding European price (the so-called pseudo-European price) for a given American price.
numerical investigation of the de
https://www.tandfonline.com
We present an alternative approach that has become popular under the name de-Americanization in the financial industry. The method is easy to implement and ...