6 search results - page 1 / 2 » Comparison of Option Prices in Semimartingale Models |
FS
2006
13 years 4 months ago
2006
In this paper we generalize recent comparison results of El Karoui, Jeanblanc-Picqu
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...
FS
2010
13 years 3 months ago
2010
The aim of this paper is to investigate the properties of stochastic volatility models, and to discuss to what extent, and with regard to which models, properties of the classical...
GECCO
2007
Springer
13 years 11 months ago
2007
Springer
Schulenburg [15] first proposed the idea to model different trader types by supplying different input information sets to a group of homogenous LCS agent. Gershoff [12] investigat...
IPPS
2008
IEEE
13 years 11 months ago
2008
IEEE
High performance computing is critical for financial markets where analysts seek to accelerate complex optimizations such as pricing engines to maintain a competitive edge. In th...