9 search results - page 2 / 2 » Option pricing and implied volatilities in a 2-hypergeometri... |
HPCS
2005
IEEE
13 years 10 months ago
2005
IEEE
— With the principal goal of developing an alternative, relatively simple and tractable pricing framework for accurately reproducing a market implied volatility surface, this pap...
CORR
2002
Springer
13 years 4 months ago
2002
Springer
In a seminal paper in 1973, Black and Scholes argued how expected distributions of stock prices can be used to price options. Their model assumed a directed random motion for the ...
ICCS
2001
Springer
13 years 9 months ago
2001
Springer
We give the background and required tools for applying quasi-Monte Carlo methods efficiently to problems in computational finance, and survey recent developments in this field. W...
IOR
2006
13 years 4 months ago
2006
The stochastic differential equations for affine jump diffusion models do not yield exact solutions that can be directly simulated. Discretization methods can be used for simulati...