16 search results - page 3 / 4 » Pricing American-Style Derivatives with European Call Option... |
SAC
2002
ACM
13 years 7 months ago
2002
ACM
The theoretical price of a financial option is given by the expectation of its discounted expiry time payoff. The computation of this expectation depends on the density of the val...
SIAMFM
2011
12 years 10 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...
MCS
2007
Springer
13 years 7 months ago
2007
Springer
The analogue of Black–Scholes formula for vanilla call option price in conditions of (B, S)-securities market with delayed response is derived. A special case of continuous-time...
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). ...
ENGL
2008
13 years 7 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...