3 papers
q-fin.PR2021
Pricing American options under negative rates
Jherek Healy
This paper starts by defining the criteria where the early-exercise of an American option is never optimal, under positive, or negative rates. It follows with a short analysis of t…
q-fin.PR2021
The Pricing of Vanilla Options with Cash Dividends as a Classic Vanilla Basket Option Problem
Jherek Healy
In the standard Black-Scholes-Merton framework, dividends are represented as a continuous dividend yield and the pricing of Vanilla options on a stock is achieved through the well-…
q-fin.PR2020
Equivalence between forward rate interpolations and discount factor interpolations for the yield curve construction
Jherek Healy
The traditional way of building a yield curve is to choose an interpolation on discount factors, implied by the market tradable instruments. Since then, constructions based on spec…