48 search results - page 1 / 10 » A dynamic programming approach to price installment options |
EOR
2006
13 years 5 months ago
2006
GECCO
2007
Springer
13 years 11 months ago
2007
Springer
Genetic Programming (GP) is an automated computational programming methodology, inspired by the workings of natural evolution techniques. It has been applied to solve complex prob...
WSC
2007
13 years 7 months ago
2007
We consider the problem of pricing American options when the volatility of the underlying asset price is stochastic. No specific stochastic volatility model is assumed for the st...
IJPP
2010
13 years 3 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...
FS
2010
13 years 3 months ago
2010
Following the framework of C¸etin, Jarrow and Protter [4] we study the problem of super-replication in presence of liquidity costs under additional restrictions on the gamma of th...