Results 261 to 270 of about 4,327,344 (283)

Pricing multi-asset options with sparse grids

2008
Multi-asset options are based on more than one underlying asset, in contrast to standard vanilla options. A very significant problem within the pricing techniques for multi-asset options is the curse of dimensionality. This curse of dimensionality is the exponential growth of the complexity of the problem when the dimensionality increases, because the ...
openaire   +1 more source

An ETD method for multi-asset American option pricing under jump-diffusion model

Mathematical Methods in the Applied Sciences, 2023
Rafael Company Rossi, Vera Egorova, Lucas Jódar   +2 more
exaly  

Option pricing of carbon asset and its application in digital decision-making of carbon asset

Applied Energy, 2022
Yue Liu, Huaping Sun, Lixin Tian
exaly  

Multi-asset Options

2016
openaire   +1 more source

Pricing multi-asset options in exponential levy models

2019
This dissertation looks at implementing exponential Levy models whereby the un- ´ derlyings are driven by Levy processes, which are able to account for stylised facts ´ that traditional models do not, in order to price basket options more efficiently. In particular, two exponential Levy models are implemented and tested: the multi- ´ variate Variance ...
openaire   +1 more source

A Monte Carlo multi-asset option pricing approximation for general stochastic processes

Chaos, Solitons and Fractals, 2016
Alan de Genaro Dario
exaly  

A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions

Applied Mathematics and Computation, 2020
Hai Dang Nguyen, J Lars Kirkby
exaly  

Pricing multi-asset option problems: a Chebyshev pseudo-spectral method

BIT Numerical Mathematics, 2018
Fazlollah Soleymani
exaly  

Multi-Asset Exotic Options

2012
openaire   +1 more source

Multi-asset spread option pricing and hedging

Quantitative Finance, 2010
Minqiang Li
exaly