8 search results - page 1 / 2 » A new approach to pricing American-style derivatives |
MANSCI
2006
13 years 4 months ago
2006
We present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i.e., not limited to geometric Brownian motion) for which European cal...
WSC
2001
13 years 6 months ago
2001
This paper presents a new approach to pricing Americanstyle derivatives. By approximating the value function with a piecewise linear interpolation function, the option holder'...
ICNP
2005
IEEE
13 years 10 months ago
2005
IEEE
This paper deals with a new pricing approach in utility fair networks, where the user’s application is associated with a utility function. We allow users to have concave as well...
COMCOM
2007
13 years 4 months ago
2007
This paper presents a new algorithm for jointly optimal control of session rate, link attempt rate, and link power in contention based MultiHop Wireless Networks. Formulating the ...
MSOM
2010
12 years 11 months ago
2010
The Vaccine and Related Biologic Products Advisory Committee meets at least once a year to decide the composition of the influenza vaccine in the U.S. Past evidence suggests that ...