354 search results - page 9 / 71 » Approximate Option Pricing |
GECCO
2007
Springer
14 years 1 months ago
2007
Springer
Genetic Programming (GP) is an automated computational programming methodology, inspired by the workings of natural evolution techniques. It has been applied to solve complex prob...
STOC
2006
ACM
14 years 7 months ago
2006
ACM
In this work we show how to use efficient online trading algorithms to price the current value of financial instruments, such as an option. We derive both upper and lower bounds f...
WSC
1998
13 years 8 months ago
1998
When pricing options via Monte Carlo simulations, precision can be improved either by performing longer simulations, or by reducing the variance of the estimators. In this paper, ...
SIAMCO
2008
13 years 7 months ago
2008
We introduce a new class of control problems in which the gain depends on the solution of a stochastic differential equation reflected at the boundary of a bounded domain, along d...
WSC
2001
13 years 8 months ago
2001
In this paper we present an algorithm for simulating functions of the minimum and terminal value for a random walk with Gaussian increments. These expectations arise in connection...