28 search results - page 1 / 6 » Duality in option pricing based on prices of other derivativ... |
ORL
2007
13 years 7 months ago
2007
We clarify a financial meaning of duality in the semi-infinite programming problem which emerges in the context of determining a derivative price range based only on the no-arbi...
CSC
2006
13 years 8 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...
HICSS
2002
IEEE
14 years 13 days ago
2002
IEEE
The analysis in this paper demonstrates that a combination of 1) a forward contact, with fixed price for both base land and peaking power, and 2) a collar option for the number of...
WSC
2004
13 years 8 months ago
2004
Monte Carlo simulation techniques that use function approximations have been successfully applied to approximately price multi-dimensional American options. However, for many pric...
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...