27 search results - page 1 / 6 » Option pricing under model and parameter uncertainty using p... |
SAC
2002
ACM
13 years 4 months ago
2002
ACM
The theoretical price of a financial option is given by the expectation of its discounted expiry time payoff. The computation of this expectation depends on the density of the val...
ISIPTA
2003
IEEE
13 years 10 months ago
2003
IEEE
The European call option prices have well-known formulae in the Cox-RossRubinstein model [2], depending on the volatility of the underlying asset. Nevertheless it is hard to give ...
HICSS
2007
IEEE
13 years 11 months ago
2007
IEEE
Abstract— The electricity price duration curve (EPDC) represents the probability distribution function of the electricity price considered as a random variable. The price uncerta...
SIGMETRICS
2012
ACM
11 years 7 months ago
2012
ACM
In a public cloud, bandwidth is traditionally priced in a pay-asyou-go model. Reflecting the recent trend of augmenting cloud computing with bandwidth guarantees, we consider a n...
IJCNN
2006
IEEE
13 years 11 months ago
2006
IEEE
— In many applications of supervised learning, the conditional average of the target variables is not sufficient for prediction. The dependencies between the explanatory variabl...