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SC
2009
ACM
13 years 10 months ago
2009
ACM
It has been shown that the sparse grid combination technique can be a practical tool to solve high dimensional PDEs arising in multidimensional option pricing problems in finance...
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'...
SIAMSC
2008
13 years 5 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...
FS
2010
13 years 3 months ago
2010
Abstract A time-dependent double-barrier option is a derivative security that delivers the terminal value φ(ST ) at expiry T if neither of the continuous time-dependent barriers b...
WSC
2004
13 years 6 months ago
2004
Stream Option Manager (SOM) is a set of mathematical tools developed at The MITRE Corporation's Center for Advanced Aviation System Development (CAASD). While still under dev...