354 search results - page 7 / 71 » Approximate Option Pricing |
AMC
2007
13 years 7 months ago
2007
Asian options have payoffs that depend on the average price of the underlying asset such as stocks, commodities, or financial indices. As exact closed-form formulas do not exist...
SIGARCH
2010
13 years 2 months ago
2010
Arithmetic Asian options are financial derivatives which have the feature of path-dependency: they depend on the entire price path of the underlying asset, rather than just the in...
FPL
2010
Springer
13 years 5 months ago
2010
Springer
Exotic options are financial derivatives which have complex features including path-dependency. These complex features make them difficult to price, as only computationally intensi...
CORR
2007
Springer
13 years 7 months ago
2007
Springer
We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit...
ECAI
2010
Springer
13 years 8 months ago
2010
Springer
Abstract. In this paper we introduce a new option pricing mechanism for reducing the exposure problem encountered by bidding agents with complementary valuations when participating...