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» Valuation of IT Courses - A Contingent Valuation Method Appr...
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JCP
2008
147views more  JCP 2008»
13 years 4 months ago
Analytical Valuation of Contingent Claims by Stochastic Interacting Systems for Stock Market
In the present paper, by applying the theory of stochastic processes and interacting particle systems and models, including stopping time theory and stochastic voter model, we mode...
Jun Wang, Qiuyuan Wang, Jiguang Shao
WSC
2004
13 years 6 months ago
An Examination of Forward Volatility
This paper investigates the adequacy of various principal components (p.c.) approaches as data reduction schemes for processing contingent claim valuations on baskets of equities....
Ray Popovic, David Goldsman
WSC
2004
13 years 6 months ago
Monte Carlo Methods for American Options
We review the basic properties of American options and the difficulties of applying Monte Carlo valuation to American options. Recent progress on the Least Squares Monte Carlo (LS...
Russel E. Caflisch, Suneal Chaudhary
IJPP
2010
137views more  IJPP 2010»
13 years 3 months ago
Parallel Option Price Valuations with the Explicit Finite Difference Method
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...
Alexandros V. Gerbessiotis