This paper extends the model proposed by Papahristodoulou [C. Papahristodoulou, Option strategies with linear programming, European Journal of Operational Research 157 (2004) 246
To create a robot with a mind of its own, we extended a formalized version of a model that explains affect-driven interaction with mechanisms for goaldirected behavior. We ran sim...
Johan F. Hoorn, Matthijs Pontier, Ghazanfar F. Sid...
Using the solution of the one-sided exit problem, a procedure to price Parisian barrier options in a jump-diffusion model with two-sided exponential jumps is developed. By extendin...
The Bacterial Foraging Optimization (BFO) algorithm is a biologically inspired computation technique which is based on mimicking the foraging behavior of E.coli bacteria. This pape...
Jing Dang, Anthony Brabazon, Michael O'Neill, Davi...
This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...