25 search results - page 2 / 5 » Pricing the American Option Using Reconfigurable Hardware |
SIAMSC
2008
13 years 10 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...
WSC
2004
13 years 11 months ago
2004
Monte Carlo simulation techniques that use function approximations have been successfully applied to approximately price multi-dimensional American options. However, for many pric...
WSC
2008
14 years 20 days 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). ...
FCCM
2009
IEEE
14 years 5 months ago
2009
IEEE
This paper presents an architecture for FPGA acceleration of quadrature methods used for pricing complex options, such as discrete barrier, Bermudan, and American options. The arc...
FPL
2010
Springer
13 years 8 months ago
2010
Springer
Exotic options are financial derivatives which have complex features including path-dependency. These complex features make them difficult to price, as only computationally intensi...