19 search results - page 2 / 4 » Pricing Options in Jump-Diffusion Models: An Extrapolation A... |
STOC
2012
ACM
11 years 7 months ago
2012
ACM
Option contracts are a type of financial derivative that allow investors to hedge risk and speculate on the variation of an asset’s future market price. In short, an option has...
IJPP
2010
13 years 3 months ago
2010
Abstract. We show how computations such as those involved in American or European-style option price valuations with the explicit finite difference method can be performed in par...
WSC
2007
13 years 7 months ago
2007
We consider the problem of pricing American options when the volatility of the underlying asset price is stochastic. No specific stochastic volatility model is assumed for the st...
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...
ADBIS
2006
Springer
13 years 11 months ago
2006
Springer
Computational database technology spans the two research fields data-base technology and scientific computing. It involves development of database capabilities that support compu...