354 search results - page 11 / 71 » Approximate Option Pricing |
ENGL
2008
13 years 7 months ago
2008
High performance computing is becoming increasingly important in the field of financial computing, as the complexity of financial models continues to increase. Many of these financ...
WSC
2008
13 years 9 months ago
2008
We revisit the stochastic mesh method for pricing American options, from a conditioning viewpoint, rather than the importance sampling viewpoint of Broadie and Glasserman (1997). ...
CATS
2007
13 years 9 months ago
2007
Financial derivatives are contracts concerning rights and obligations to engage in future transactions on some underlying financial instrument. A major concern in financial mark...
WSC
1998
13 years 8 months ago
1998
This paper compares Monte Carlo methods, lattice rules, and other low-discrepancy point sets on the problem of evaluating asian options. The combination of these methods with vari...
SIAMSC
2008
13 years 7 months ago
2008
Numerical methods are developed for pricing European and American options under Kou's jump-diffusion model which assumes the price of the underlying asset to behave like a ge...