32 search results - page 2 / 7 » Cache-optimal algorithms for option pricing |
AAIM
2007
Springer
13 years 12 months ago
2007
Springer
Abstract. Pricing arithmetic average options continues to intrigue researchers in the field of financial engineering. Since there is no analytical solution for this problem until...
STOC
2006
ACM
14 years 6 months ago
2006
ACM
In this work we show how to use efficient online trading algorithms to price the current value of financial instruments, such as an option. We derive both upper and lower bounds f...
FS
2006
13 years 5 months ago
2006
Using the solution of the one-sided exit problem, a procedure to price Parisian barrier options in a jump-diffusion model with two-sided exponential jumps is developed. By extendin...
GECCO
2007
Springer
13 years 12 months ago
2007
Springer
Quantum effects are a natural phenomenon and just like evolution, or immune processes, can serve as an inspiration for the design of computing algorithms. This study illustrates ...
CATS
2007
13 years 7 months ago
2007
Financial derivatives are contracts concerning rights and obligations to engage in future transactions on some underlying financial instrument. A major concern in financial mark...