40 search results - page 4 / 8 » Option Pricing for Weighted Average of Asset Prices |
HICSS
2007
IEEE
14 years 1 months ago
2007
IEEE
Abstract— The electricity price duration curve (EPDC) represents the probability distribution function of the electricity price considered as a random variable. The price uncerta...
SIGARCH
2010
13 years 2 months ago
2010
Arithmetic Asian options are financial derivatives which have the feature of path-dependency: they depend on the entire price path of the underlying asset, rather than just the in...
WCE
2007
13 years 8 months ago
2007
Abstract—In this paper I use Monte Carlo simulated option data to investigate the empirical power of six Risk Neutral Density (RND) estimation techniques. Three alternative appro...
WSC
2007
13 years 9 months ago
2007
We consider the problem of pricing American options when the volatility of the underlying asset price is stochastic. No specific stochastic volatility model is assumed for the st...
SIAMSC
2008
13 years 7 months ago
2008
Numerical methods are developed for pricing European and American options under Kou's jump-diffusion model which assumes the price of the underlying asset to behave like a ge...