354 search results - page 6 / 71 » Approximate Option Pricing |
IOR
2002
13 years 7 months ago
2002
This paper presents the design and pricing of financial contracts for the supply and procurement of interruptible electricity service. While the contract forms and pricing methodo...
FS
2006
13 years 7 months ago
2006
Using the solution of the one-sided exit problem, a procedure to price Parisian barrier options in a jump-diffusion model with two-sided exponential jumps is developed. By extendin...
ISIPTA
2003
IEEE
14 years 23 days ago
2003
IEEE
The European call option prices have well-known formulae in the Cox-RossRubinstein model [2], depending on the volatility of the underlying asset. Nevertheless it is hard to give ...
IPPS
2008
IEEE
14 years 1 months ago
2008
IEEE
With the evolution of Graphics Processing Units (GPUs) into powerful and cost-efficient computing architectures, their range of application has expanded tremendously, especially i...
WSC
2004
13 years 8 months ago
2004
This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...