354 search results - page 3 / 71 » Approximate Option Pricing |
CORR
2002
Springer
13 years 7 months ago
2002
Springer
In a seminal paper in 1973, Black and Scholes argued how expected distributions of stock prices can be used to price options. Their model assumed a directed random motion for the ...
FS
2010
13 years 6 months ago
2010
Following the framework of C¸etin, Jarrow and Protter [4] we study the problem of super-replication in presence of liquidity costs under additional restrictions on the gamma of th...
CSC
2006
13 years 9 months ago
2006
How to price options efficiently and accurately is an important research problem. Options can be priced by the lattice model. Although the pricing results converge to the theoreti...
AMC
2005
13 years 7 months ago
2005
Financial options whose payoff depends critically on historical prices are called pathdependent options. Their prices are usually harder to calculate than options whose prices do ...
HICSS
2007
IEEE
14 years 1 months ago
2007
IEEE
Abstract— The electricity price duration curve (EPDC) represents the probability distribution function of the electricity price considered as a random variable. The price uncerta...