Results 221 to 230 of about 14,899 (264)
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2010 IEEE 12th International Conference on High Performance Computing and Communications (HPCC), 2010
In recent years, Graphics Processing Units (GPUs) have been opened to general purpose programming. As a result, researchers and developers have access to the massively parallel GPU architecture for applications beyond that of graphics rendering and gaming.
Steven Solomon +2 more
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In recent years, Graphics Processing Units (GPUs) have been opened to general purpose programming. As a result, researchers and developers have access to the massively parallel GPU architecture for applications beyond that of graphics rendering and gaming.
Steven Solomon +2 more
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Theory of Probability & Its Applications, 1995
We describe various models, which can be approximated by binomial models of a market of securities [\textit{J. C. Cox}, \textit{S. A. Ross} and \textit{M. Rubinstein}, J. Financ. Econ. 7, No. 3, 229--263 (1979; Zbl 1131.91333)] and introduce the corresponding approximation formulas for the value of options.
Rachev, S. T., Rüschendorf, L.
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We describe various models, which can be approximated by binomial models of a market of securities [\textit{J. C. Cox}, \textit{S. A. Ross} and \textit{M. Rubinstein}, J. Financ. Econ. 7, No. 3, 229--263 (1979; Zbl 1131.91333)] and introduce the corresponding approximation formulas for the value of options.
Rachev, S. T., Rüschendorf, L.
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The Pricing of the American Option
Annals of Applied Probability, 1992 The author gives a survey on the valuation problem for American options based on a risky asset which is modelled as a geometric Brownian motion. The fact that American options --- by definition --- can be exercised at any time up to a fixed maturity \(T\) makes the pricing problem more difficult than that for European options.
exaly +3 more sources
1996
Abstract The first section of this chapter discusses the basic features of option contracts, with special reference to stock options, including the way in which the contractual elements of an option (such as the maturity or exercise price) have been standardized to facilitate trading.
Hendrik S. Houthakker +1 more
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Abstract The first section of this chapter discusses the basic features of option contracts, with special reference to stock options, including the way in which the contractual elements of an option (such as the maturity or exercise price) have been standardized to facilitate trading.
Hendrik S. Houthakker +1 more
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Multifactor option pricing: pricing bounds and option relations
International Journal of Applied Decision Sciences, 2010Multifactor models are popular in industry and research but suffer from unstable weightings (similar to the problem encountered in multiple regressions). Consequently this poses an option pricing problem as prices can change significantly depending on these unstable weightings.
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European Journal of Operational Research, 2014
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chaithanya Bandi, Dimitris Bertsimas
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chaithanya Bandi, Dimitris Bertsimas
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The Journal of Finance, 1985
ABSTRACTThe purpose of this article is to compare the Perrakis and Ryan bounds of option prices in a single‐period model with option bounds derived using linear programming. It is shown that the upper bounds are identical but that the lower bounds are different. A comparison of these bounds, together with Merton's bounds and the Black‐Scholes prices in
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ABSTRACTThe purpose of this article is to compare the Perrakis and Ryan bounds of option prices in a single‐period model with option bounds derived using linear programming. It is shown that the upper bounds are identical but that the lower bounds are different. A comparison of these bounds, together with Merton's bounds and the Black‐Scholes prices in
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Pricing average options on commodities [PDF]
Journal of Futures Markets, 2010 This paper proposes a new approximation formula for average options on commodities under stochastic volatility environment. In particular, it derives a formula under two stochastic volatility models such as Heston and λ-SABR models including the SABR model as a special case by using an asymptotic expansion method.To our knowledge, this paper is the ...
Kenichiro Shiraya, Akihiko Takahashi
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CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE
International Journal of Theoretical and Applied Finance, 2009It is well known that as the time interval between two consecutive observations shrinks to zero, a properly constructed GARCH model will weakly converge to a bivariate diffusion. Naturally the European option price under the GARCH model will also converge to its bivariate diffusion counterpart.
Duan, J.-C., Wang, Y., Zou, J.
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Pricing Vulnerable Options with Copulas [PDF]
SSRN Electronic Journal, 2002 Counterparty risk is usually defined as the risk which stems from the fact that the counterparty of a derivative contract is not solvent before or at expiration. As most of the derivative trading activity has been moving from standardized products quoted on futures‐style markets, towards customized products traded on over‐the‐counter markets, the issue
Umberto Cherubini, Elisa Luciano
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