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» Sequential calibration of options
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AMEC
2004
Springer
13 years 10 months ago
An Options-Based Method to Solve the Composability Problem in Sequential Auctions
Abstract. Current auctions often expose bidding agents to two difficult, yet common, problems. First, bidding agents often have the opportunity to participate in successive auctio...
Adam I. Juda, David C. Parkes
DA
2006
45views more  DA 2006»
13 years 5 months ago
Sequential Search with Multiattribute Options
Churlzu Lim, J. Neil Bearden, J. Cole Smith
SIGECOM
2008
ACM
129views ECommerce» more  SIGECOM 2008»
13 years 5 months ago
Can priced options solve the exposure problem in sequential auctions?
Lonneke Mous, Valentin Robu, Han La Poutré
HPCS
2005
IEEE
13 years 10 months ago
Parallel Lattice Implementation for Option Pricing under Mixed State-Dependent Volatility Models
— With the principal goal of developing an alternative, relatively simple and tractable pricing framework for accurately reproducing a market implied volatility surface, this pap...
Giuseppe Campolieti, Roman Makarov