25 search results - page 4 / 5 » American Parisian options |
SIAMCO
2010
13 years 5 months ago
2010
In this paper we study the nonzero-sum Dynkin game in continuous time, which is a two-player noncooperative game on stopping times. We show that it has a Nash equilibrium point for...
IPPS
2008
IEEE
14 years 1 months ago
2008
IEEE
With the evolution of Graphics Processing Units (GPUs) into powerful and cost-efficient computing architectures, their range of application has expanded tremendously, especially i...
FCCM
2009
IEEE
14 years 2 months ago
2009
IEEE
This paper presents an architecture for FPGA acceleration of quadrature methods used for pricing complex options, such as discrete barrier, Bermudan, and American options. The arc...
WSC
2008
13 years 9 months ago
2008
In this paper, we consider equity-linked life insurance contracts that give their holder the possibility to surrender their policy before maturity. Such contracts can be valued us...
WSC
2001
13 years 9 months ago
2001
This paper presents a new approach to pricing Americanstyle derivatives. By approximating the value function with a piecewise linear interpolation function, the option holder'...