40 search results - page 5 / 8 » Option Pricing for Weighted Average of Asset Prices |
SIAMFM
2011
14 years 13 days ago
2011
We consider model-free pricing of digital options, which pay out if the underlying asset has crossed both upper and lower barriers. We make only weak assumptions about the underly...
178
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Book
This is a great draft book about stochastic calculus and finance. It covers large number of topics such as Introduction to Probability Theory, Conditional Expectation, Arbitrage Pr...
AOR
2010
14 years 7 months ago
2010
We study the problem of computing general static-arbitrage bounds for European basket options; that is, computing bounds on the price of a basket option, given the only assumption...
ENGL
2008
14 years 9 months ago
2008
High performance computing is becoming increasingly important in the field of financial computing, as the complexity of financial models continues to increase. Many of these financ...
77
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GCC
2006
Springer
15 years 1 months ago
2006
Springer
In this paper, we propose a new scheduling algorithm with economic theory, called Black Scholes Market (BSM) algorithm for a class of Dynamic Jobs (DJ). BSM is based on the classi...