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» Approximate Option Pricing

28

MCS
2010
Springer

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Pricing American options using a space-time adaptive finite difference method

13 years 6 months ago

Pricing American options using a space-time adaptive finite difference method

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Jonas Persson, Lina von Sydow

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9

TOMS
2010

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Cache-optimal algorithms for option pricing

13 years 5 months ago

Cache-optimal algorithms for option pricing

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John E. Savage, Mohammad Zubair

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14

IPPS
2010
IEEE

133views Distributed And Parallel Com...» more IPPS 2010»

A parallel Particle swarm optimization algorithm for option pricing

13 years 5 months ago

A parallel Particle swarm optimization algorithm for option pricing

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Hari Prasain, Girish K. Jha, Parimala Thulasiraman...

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19

FS
2011

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Dual pricing of multi-exercise options under volume constraints

13 years 2 months ago

Dual pricing of multi-exercise options under volume constraints

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Christian Bender

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20

HICSS
2002
IEEE

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Using Weather Derivatives to Improve the Efficiency of Forward Markets for Electricity

14 years 14 days ago

Using Weather Derivatives to Improve the Efficiency of Forward Markets for Electricity

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The analysis in this paper demonstrates that a combination of 1) a forward contact, with fixed price for both base land and peaking power, and 2) a collar option for the number of...

Timothy Mount

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