354 search results - page 2 / 71 » Approximate Option Pricing |
FOCS
1996
IEEE
13 years 11 months ago
1996
IEEE
JCAM
2010
13 years 2 months ago
2010
Asian options, basket options and spread options have been extensively studied in literature. However, few papers deal with the problem of pricing general Asian basket spread opti...
AAIM
2007
Springer
14 years 1 months ago
2007
Springer
Abstract. Pricing arithmetic average options continues to intrigue researchers in the field of financial engineering. Since there is no analytical solution for this problem until...
SC
2009
ACM
14 years 4 days ago
2009
ACM
It has been shown that the sparse grid combination technique can be a practical tool to solve high dimensional PDEs arising in multidimensional option pricing problems in finance...
WSC
2007
13 years 9 months ago
2007
We consider the problem of pricing American options when the volatility of the underlying asset price is stochastic. No specific stochastic volatility model is assumed for the st...