Dimitri Offengenden

Strategist

Strategist

United States

SCHOLARLY PAPERS

3

DOWNLOADS
Rank 30,426

SSRN RANKINGS

Top 30,426

in Total Papers Downloads

2,333

SSRN CITATIONS

0

CROSSREF CITATIONS

10

Scholarly Papers (3)

Actions:
Email selected abstracts
1.

High Performance American Option Pricing

Downloads 2,193 ( 9,680)
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 2,191 (9,523)
Citation 4

Abstract:

Loading...

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 2 (914,379)
  • Add to Cart

Abstract:

Loading...

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 104 (353,298)

Abstract:

Loading...

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 36 (594,082)

Abstract:

Loading...

Curran, Average Rate, Options