354 search results - page 1 / 71 » Approximate Option Pricing |
MANSCI
2006
14 years 9 months ago
2006
We present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i.e., not limited to geometric Brownian motion) for which European cal...
76
Voted
SODA
2004
ACM
14 years 11 months ago
2004
ACM
Asian options are path-dependent derivatives. How to price them efficiently and accurately has been a longstanding research and practical problem. Asian options can be priced on t...
WSC
2004
14 years 11 months ago
2004
Monte Carlo simulation techniques that use function approximations have been successfully applied to approximately price multi-dimensional American options. However, for many pric...
WSC
2004
14 years 11 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 ...
70
Voted
WSC
2001
14 years 11 months ago
2001
This paper presents a new approach to pricing Americanstyle derivatives. By approximating the value function with a piecewise linear interpolation function, the option holder'...