25 search results - page 3 / 5 » American Parisian options |
MANSCI
2006
13 years 7 months ago
2006
We present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i.e., not limited to geometric Brownian motion) for which European cal...
WSC
2004
13 years 9 months ago
2004
Monte Carlo simulation can be readily applied to asset pricing problems with multiple state variables and possible path dependencies because convergence of Monte Carlo methods is ...
CSE
2009
IEEE
14 years 2 months ago
2009
IEEE
MCS
2010
Springer
13 years 6 months ago
2010
Springer
Book
This is a great draft book about stochastic calculus and finance. It covers large number of topics such as Introduction to Probability Theory, Conditional Expectation, Arbitrage Pr...