32 search results - page 4 / 7 » Cache-optimal algorithms for option pricing |
IJPP
2010
13 years 6 months ago
2010
Abstract. We show how computations such as those involved in American or European-style option price valuations with the explicit finite difference method can be performed in par...
WSC
2001
13 years 9 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...
FS
2010
13 years 6 months ago
2010
Abstract A time-dependent double-barrier option is a derivative security that delivers the terminal value φ(ST ) at expiry T if neither of the continuous time-dependent barriers b...
SAC
2002
ACM
13 years 7 months ago
2002
ACM
The theoretical price of a financial option is given by the expectation of its discounted expiry time payoff. The computation of this expectation depends on the density of the val...
WSC
2008
13 years 10 months ago
2008
In this paper, we consider equity-linked life insurance contracts that give their holder the possibility to surrender their policy before maturity. Such contracts can be valued us...