40 search results - page 3 / 8 » Option Pricing for Weighted Average of Asset Prices |
AAIM
2007
Springer
14 years 1 months ago
2007
Springer
Abstract. Pricing arithmetic average options continues to intrigue researchers in the field of financial engineering. Since there is no analytical solution for this problem until...
STOC
2012
ACM
11 years 9 months ago
2012
ACM
Option contracts are a type of financial derivative that allow investors to hedge risk and speculate on the variation of an asset’s future market price. In short, an option has...
WSC
2001
13 years 8 months ago
2001
This paper presents a new approach to pricing Americanstyle derivatives. By approximating the value function with a piecewise linear interpolation function, the option holder'...
IJAR
2008
13 years 7 months ago
2008
Using Shafer and Vovk's game-theoretic framework for probability, we derive a capital asset pricing model from an efficient market hypothesis, with no assumptions about the b...
WSC
2008
13 years 9 months ago
2008
We revisit the stochastic mesh method for pricing American options, from a conditioning viewpoint, rather than the importance sampling viewpoint of Broadie and Glasserman (1997). ...