A note on Yoshida’s optimal stopping model for option pricing

2006 ◽  
Vol 170 (2) ◽  
pp. 672-676 ◽  
Author(s):  
Pedro Terán
Keyword(s):  
Option Pricing ◽  
Optimal Stopping

scholarly journals ACCELERATED SHARE REPURCHASE: PRICING AND EXECUTION STRATEGY

2015 ◽  
Vol 18 (03) ◽  
pp. 1550019 ◽  
Author(s):  
OLIVIER GUÉANT ◽  
JIANG PU ◽  
GUILLAUME ROYER
Keyword(s):  
Numerical Methods ◽  
Option Pricing ◽  
Optimal Stopping ◽  
Market Price ◽  
Stopping Time ◽  
Share Repurchase ◽  
Optimal Execution ◽  
Execution Strategy ◽  
Bermudan Options ◽  
Optimal Execution Problem

In this paper, we consider the optimal execution problem associated to accelerated share repurchase (ASR) contracts. When firms want to repurchase their own shares, they often enter such a contract with a bank. The bank buys the shares for the firm and is paid the average market price over the execution period, the length of the period being decided upon by the bank during the buying process. Mathematically, the problem is new and related to both option pricing (Asian and Bermudan options) and optimal execution. We provide a model, along with associated numerical methods, to determine the optimal stopping time and the optimal buying strategy of the bank.

On empirical likelihood option pricing

2017 ◽  
Vol 19 (5) ◽  
pp. 41-53
Author(s):  
Xiaolong Zhong ◽  
Jie Cao ◽  
Yong Jin ◽  
Wei Zheng
Keyword(s):  
Option Pricing ◽  
Empirical Likelihood

An analytical approximation for the GARCH option pricing model

1999 ◽  
Vol 2 (4) ◽  
pp. 75-116 ◽  
Author(s):  
Jin-Chuan Duan ◽  
Geneviève Gauthier ◽  
Jean-Guy Simonato
Keyword(s):  
Option Pricing ◽  
Analytical Approximation ◽  
Pricing Model ◽  
Option Pricing Model

Efficient conservative second-order central-upwind schemes for option-pricing problems

2019 ◽  
Vol 22 (5) ◽  
pp. 71-101 ◽  
Author(s):  
Omishwary Bhatoo ◽  
Arshad Ahmud Iqbal Peer ◽  
Eitan Tadmor ◽  
Desire Yannick Tangman ◽  
Aslam Aly El Faidal Saib
Keyword(s):  
Option Pricing ◽  
Second Order ◽  
Upwind Schemes ◽  
Pricing Problems
Sign in / Sign up

Export Citation Format

Share Document