Results 251 to 260 of about 4,514,037 (280)

Using meshfree approximation for multi‐asset American options

Journal of the Chinese Institute of Engineers, Transactions of the Chinese Institute of Engineers,Series A/Chung-kuo Kung Ch'eng Hsuch K'an, 2004
Abstract We study the applicability of meshfree approximation schemes for the solution of multi‐asset American option problems. In particular, we consider a penalty method which allows us to remove the free and moving boundary by adding a small and continuous penalty term to the Black‐Scholes equation.
Gregory Eric Fasshauer, Abdul Qayyum Masud Khaliq, David Albert Voss   +2 more
exaly   +2 more sources

Optimal Stopping, Multi-asset American/Bermudan Options

2018
The main aim of this chapter is to present and analyze two methods for the pricing of multi-asset American – in practice Bermudan – options: the regression methods “a la Longstaff-Schwarz” and the quantization methods. The pricing of American options is a typical example of an optimal stopping problem.
openaire   +1 more source

Explicit Approximations of Multi-Asset Option Prices Including Greeks

SSRN Electronic Journal, 2011
In this article we give a lower bound approximation to a stochastic program that is typical for many complex financial derivatives, e.g. Bermudan options, Rainbow options and swing contracts. The approximation is based on an algorithm that does not require any simulation but uses a well-known spread option pricing formula.
openaire   +1 more source

Credit Value Adjustment for Multi-Asset Options

2014
Electrical Engineering, Mathematics and Computer ...
openaire   +2 more sources

Bounding option pricing of multi-assets: a semidefinite programming approach

2005
Summary: Recently, semidefinite programming has been used to bound the price of a single-asset European call option at a fixed time. Given the first \(n\) moments, a tight bound can be obtained by solving a single semidefinite programming problem of dimension \(n+1\).
Han, Deren, Li, Xun, Sun, Defeng, Sun, Jie   +3 more
openaire   +2 more sources

Multi-Asset Barrier Options Pricing by Collocation BEM (with Matlab® Code)

Axioms, 2021
Alessandra Aimi, Chiara Guardasoni
exaly  

Pricing Multi-Asset Bermudan Commodity Options with Stochastic Volatility Using Neural Networks

Journal of Risk and Financial Management, 2023
Yūji Yamada, Kentaro Hoshisashi
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

Extensions of the Black-Scholes Theory to Other Types of Options (Futures Options, Currency Options, American Options, Path-Dependent Options, Multi-asset Options)

Springer Texts in Business and Economics, 2023
exaly