354 search results - page 22 / 71 » Approximate Option Pricing |
WSC
2007
13 years 10 months ago
2007
Portfolio credit derivatives that depend on default correlation are increasingly widespread in the credit market. Valuing such products often entails Monte Carlo simulation. Howev...
WINE
2010
Springer
13 years 5 months ago
2010
Springer
We design algorithms for computing approximately revenue-maximizing sequential postedpricing mechanisms (SPM) in K-unit auctions, in a standard Bayesian model. A seller has K copi...
HICSS
2003
IEEE
14 years 25 days ago
2003
IEEE
In this paper we shall represent strategic planning problems by dynamic decision trees, in which the nodes are projects that can be deferred or postponed for a certain period of t...
FSTTCS
2003
Springer
14 years 23 days ago
2003
Springer
Recently, Jain, Mahdian and Saberi [5] had given a FPTAS for the problem of computing a market equilibrium in the Arrow-Debreu setting, when the utilities are linear functions. The...
MANSCI
2008
13 years 7 months ago
2008
We introduce callable products into a finite-capacity, two-period sales or booking process where low-fare customers book first. A callable product is a unit of capacity sold at th...