40 search results - page 5 / 8 » Option Pricing for Weighted Average of Asset Prices |
SIAMFM
2011
12 years 11 months ago
2011
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...
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Book
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...
AOR
2010
13 years 5 months ago
2010
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...
ENGL
2008
13 years 8 months ago
2008
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...
GCC
2006
Springer
14 years 2 days ago
2006
Springer
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...