Dimitri Offengenden

Strategist

Strategist

United States

SCHOLARLY PAPERS

3

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Top 32,581

in Total Papers Downloads

1,747

SSRN CITATIONS

0

CROSSREF CITATIONS

10

Scholarly Papers (3)

1.
Downloads 1,662 ( 12,316)
Citation 5

High Performance American Option Pricing

Number of pages: 44 Posted: 11 Jan 2015 Last Revised: 06 May 2020
Leif B. G. Andersen, Mark Lake and Dimitri Offengenden
Bank of America, Bank of America Merrill Lynch and Strategist
Downloads 1,661 (12,112)
Citation 4

Abstract:

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American option pricing, integral equations, fixed point algorithm, Chebyshev interpolation, collocation methods

High-Performance American Option Pricing

Journal of Computational Finance, 20(1), 39-87, DOI:10.21314/JCF.2016.312
Number of pages: 50 Posted: 02 Aug 2016
Leif B. G. Andersen, Mark Lake and Dimitri Offengenden
Bank of America, Bank of America Merrill Lynch and Strategist
Downloads 1 (793,426)
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Abstract:

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american options, integral, computational finance

2.

Closed Form Option Pricing for Stocks with Fixed Dividends

Number of pages: 12 Posted: 18 Feb 2021 Last Revised: 31 Mar 2021
Dimitri Offengenden, Roberto Caccia and Vahagn Minasian
Strategist, University of Colorado at Boulder - Leeds School of Business and affiliation not provided to SSRN
Downloads 67 (396,783)

Abstract:

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options, fixed dividends, Curran, closed form

3.

An Improved Curran Method

Number of pages: 9 Posted: 24 Mar 2021 Last Revised: 31 Mar 2021
Dimitri Offengenden and Roberto Caccia
Strategist and University of Colorado at Boulder - Leeds School of Business
Downloads 18 (624,337)

Abstract:

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Curran, Average Rate, Options