We consider model-free pricing of digital options, which pay out if the underlying asset has crossed both upper and lower barriers. We make only weak assumptions about the underly...
This is a great draft book about stochastic calculus and finance. It covers large number of topics such as Introduction to Probability Theory, Conditional Expectation, Arbitrage Pr...
We study the problem of computing general static-arbitrage bounds for European basket options; that is, computing bounds on the price of a basket option, given the only assumption...
High performance computing is becoming increasingly important in the field of financial computing, as the complexity of financial models continues to increase. Many of these financ...
In this paper, we propose a new scheduling algorithm with economic theory, called Black Scholes Market (BSM) algorithm for a class of Dynamic Jobs (DJ). BSM is based on the classi...
Bo Cao, Yongwei Wu, Guangwen Yang, Jia Liu, Jianji...