220 search results - page 2 / 44 » Real options valuation |
WSC
2004
13 years 8 months ago
2004
We review the basic properties of American options and the difficulties of applying Monte Carlo valuation to American options. Recent progress on the Least Squares Monte Carlo (LS...
IJPP
2010
13 years 5 months ago
2010
Abstract. We show how computations such as those involved in American or European-style option price valuations with the explicit finite difference method can be performed in par...
WSC
2008
13 years 9 months ago
2008
Variable annuities are very appealing to the investor. For example, in United States, sales volume on variable annuities grew to a record 184 billion in calendar year 2006. Howeve...
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...
AMC
2005
13 years 7 months ago
2005
This paper explores the utility of a discrete singular convolution (DSC) algorithm for solving the Black