25 search results - page 2 / 5 » American Parisian options |
SIAMSC
2008
13 years 6 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 7 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...
APJOR
2010
13 years 4 months ago
2010
This paper provides a fast and accurate randomization algorithm for valuing American puts and calls on dividend-paying stocks and their early exercise boundaries. The primal focus...
WSC
2007
13 years 8 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...
WSC
2008
13 years 8 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). ...