7 search results - page 1 / 2 » Option valuation by using discrete singular convolution |
AMC
2005
13 years 4 months ago
2005
This paper explores the utility of a discrete singular convolution (DSC) algorithm for solving the Black
DATE
2004
IEEE
13 years 8 months ago
2004
IEEE
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...
SIAMSC
2008
13 years 4 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
2006
13 years 5 months ago
2006
In the present paper we provide an analytical solution for pricing discrete barrier options in the Black-Scholes framework. We reduce the valuation problem to a Wiener-Hopf equatio...