2 citations · 3 across the 4 of their papers we have counts for
4 papers · 1 filter
Approximate Bermudan option pricing based on the réduite or cubature: soundness and characterisation of perpetual prices as fixed points
Frederik S. Herzberg
In this paper, it is shown that Bermudan option pricing based on either the réduite (in a one-dimensional setting: piecewise harmonic interpolation) or cubature -- is sensible from…
Recent approaches to multidimensional Bermudan option pricing and the extrapolation to American option prices
Frederik S Herzberg
A number of Bermudan option pricing methods that are applicable to options on multiple assets are studied in this thesis, one of the dominating questions being the natural scaling…
The fairest price of an asset in an environment of temporary arbitrage
Frederik Herzberg
In practice there are temporary arbitrage opportunities arising from the fact that prices for a given asset at different stock exchanges are not instantaneously the same. We will s…
On measures of unfairness and an optimal currency transaction tax
Frederik Herzberg
The purpose of the present paper is the analysis of a model describing how herd behaviour and self-fulfilling prophecies can influence currency exchange rates, and what the impact…