17 search results - page 3 / 4 » Efficient Pricing of Barrier Options with the Variance-Gamma... |
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...
WSC
2008
13 years 9 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...
WSC
2004
13 years 8 months ago
2004
Mortgage-Backed-Securities (MBS), as the largest investment class of fixed income securities, have always been hard to price. Because of the following reasons, normal numerical me...
HICSS
2008
IEEE
14 years 1 months ago
2008
IEEE
Online auctions are inherently dynamic. Online auction designs that internalize temporal changes in the economic environment are generally expected to perform better than static d...
ATAL
2006
Springer
13 years 10 months ago
2006
Springer
This paper proposes an efficient agent for competing in Cliff Edge (CE) environments, such as sealed-bid auctions, dynamic pricing and the ultimatum game. The agent competes in on...