搜索结果: 1-12 共查到“知识库 数量经济学 options”相关记录12条 . 查询时间(0.631 秒)
Hedging of game options in discrete markets with transaction costs
game options discrete markets transaction costs
2012/9/14
We construct algorithms for computation of prices and superhedging strategies for game options in general discrete time markets with transaction costs both from seller’s (upper arbitrage free price) a...
Valuation and parity formulas for exchange options
Valuation and parity formulas exchange options
2012/9/14
Valuation and parity formulas for both European-style and American-style exchange options are presented in a general financial model allowing for jumps, possibility of default and bubbles in asset pri...
Digital double barrier options: Several barrier periods and structure floors
Double barrier option tructure floor occupation time corridor option.
2012/9/14
We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black-Scholes model. This means that the barriers are active during some time intervals, but...
Using high performance computing and Monte Carlo simulation for pricing american options
High performance computing NVidia CUDA GPGPU finance Monte Carlo American options
2012/6/5
High performance computing (HPC) is a very attractive and relatively new area of research, which gives promising results in many applications. In this paper HPC is used for pricing of American options...
Error estimates for binomial approximations of game put options
Error estimates for binomial approximations of game put options
2012/9/13
A game or Israeli option is an American style option where both the writer and the holder have the right to terminate the contract before the expiration time. As shows the fair price for this option c...
American Options Based on Malliavin Calculus and Nonparametric Variance Reduction Methods
American Options Malliavin Calculus Monte Carlo GPU
2011/7/25
Abstract: This paper is devoted to pricing American options using Monte Carlo and the Malliavin calculus. Unlike the majority of articles related to this topic, in this work we will not use localizati...
Root's Barrier: Construction, Optimality and Applications to Variance Options
Construction Optimality Applications Variance Options Pricing of Securities
2011/7/25
Abstract: Recent work of Dupire (2005) and Carr & Lee (2010) has highlighted the importance of understanding the Skorokhod embedding originally proposed by Root (1969) for the model-independent hedgin...
The Implied Distribution for Stocks of Companies with Warrants and/or Executive Stock Options
Warrants executive stock options value of the firm risk-neutral
2010/9/7
This paper sets out to provide a risk-management tool (namely the distribution of the stock price of a warrantissuing firm) and at the same time resolves an outstanding issue between the theory and th...
Binomial Approximations for Barrier Options of Israeli Style
barrier game options Dynkin games shortfall risk binomial approximations Skorokhod embedding
2010/11/1
We show that prices and shortfall risks of game (Israeli) barrier options in a sequence of binomial approximations of the Black–Scholes (BS) market converge to the corresponding quantities for similar...
Continuously monitored barrier options under Markov processes
Continuously monitored barrier options Markov processes
2010/11/2
In this paper we present an algorithm for pricing barrier options in one-dimensional Markov models. The approach rests on the construction of an approximating continuous-time Markov chain that closely...
Law of the exponential functional of one-sided Lévy processes and Asian options
L´ evy processes exponential functional special functions
2010/11/1
The purpose of this note is to describe, in terms of a power series, the distribution function
of the exponential functional, taken at some independent exponential time, of a spectrally negative L&ac...
Binomial Lattices for Barrier Options
Barrier option binomial tree convergence rate transition probability
2010/9/7
In the existing literature on barrier options, much effort has been exerted to ensure convergence through placing the barrier in close proximity to, or directly onto, the nodes of the tree lattice. In...