28 search results - page 1 / 6 » Developing Efficient Option Pricing Algorithms by Combinator... |
CSC
2006
13 years 6 months ago
2006
How to price options efficiently and accurately is an important research problem. Options can be priced by the lattice model. Although the pricing results converge to the theoreti...
CATS
2007
13 years 6 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...
WSC
2004
13 years 6 months ago
2004
We develop an efficient Monte Carlo algorithm for pricing barrier options with the variance gamma model (Madan, Carr, and Chang 1998). After generalizing the double-gamma bridge s...
AAIM
2007
Springer
13 years 11 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...
WSC
2004
13 years 6 months ago
2004
Mortgage-Backed-Securities (MBS), as the largest investment class of fixed income securities, have always been hard to price. Because of the following reasons, normal numerical me...