354 search results - page 19 / 71 » Approximate Option Pricing |
INFORMS
2008
13 years 7 months ago
2008
We present a stochastic approximation method to compute bid prices in network revenue management problems. The key idea is to visualize the total expected revenue as a function of...
EOR
2008
13 years 7 months ago
2008
This paper presents a method for assessing small hydropower projects that are subject to uncertain electricity prices. We present a real options-based method with continuous scali...
FS
2006
13 years 7 months ago
2006
In the present paper we provide an analytical solution for pricing discrete barrier options in the Black-Scholes framework. We reduce the valuation problem to a Wiener-Hopf equatio...
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...
SIAMCO
2010
13 years 6 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...