7 search results - page 1 / 2 » Local time and the pricing of time-dependent barrier options |
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...
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...
SODA
2004
ACM
13 years 6 months ago
2004
ACM
Asian options are path-dependent derivatives. How to price them efficiently and accurately has been a longstanding research and practical problem. Asian options can be priced on t...
Book
This is a great draft book about stochastic calculus and finance. It covers large number of topics such as Introduction to Probability Theory, Conditional Expectation, Arbitrage Pr...
FCCM
2009
IEEE
13 years 11 months ago
2009
IEEE
This paper presents an architecture for FPGA acceleration of quadrature methods used for pricing complex options, such as discrete barrier, Bermudan, and American options. The arc...