25 search results - page 1 / 5 » Pricing the American Option Using Reconfigurable Hardware |
CSE
2009
IEEE
14 years 12 days ago
2009
IEEE
WSC
2004
13 years 7 months ago
2004
Monte Carlo simulation can be readily applied to asset pricing problems with multiple state variables and possible path dependencies because convergence of Monte Carlo methods is ...
FS
2006
13 years 5 months ago
2006
Using the solution of the one-sided exit problem, a procedure to price Parisian barrier options in a jump-diffusion model with two-sided exponential jumps is developed. By extendin...
MCS
2010
Springer
13 years 4 months ago
2010
Springer
WSC
2007
13 years 8 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...