Keyword: option pricing

Found 34 papers in total
Option pricing under a double exponential jump diffusion model
Option pricing under a double exponential jump diffusion model
2004,
Analytical tractability is one of the challenges faced by many alternative models that...
Convergence of the Least Squares Monte Carlo Approach to American Option Valuation
Convergence of the Least Squares Monte Carlo Approach to American Option Valuation
2004,
In a recent paper, Longstaff and Schwartz suggest a method for American option...
Primal–dual simulation algorithm for pricing multidimensional American options
Primal–dual simulation algorithm for pricing multidimensional American options
2004,
This paper describes a practical algorithm based on Monte Carlo simulation for the...
Pricing path-dependent securities by the extended tree method
Pricing path-dependent securities by the extended tree method
2004,
This paper presents a discrete-time method (ET method) for pricing path-dependent...
Option pricing with a general marked point process
Option pricing with a general marked point process
2001,
This paper examines the impact of a random number of price changes on the options...
Numerical analysis of American option pricing in a jump-diffusion model
Numerical analysis of American option pricing in a jump-diffusion model
1997,
We discuss pricing formulae for American options in Merton's jump-diffusion model....
Option pricing via Monte Carlo simulation – a weak derivative approach
Option pricing via Monte Carlo simulation – a weak derivative approach
2001,
Using a weak derivation approach to gradient estimation, we consider the problem of...
A pricing model for American options with Gaussian interest rates
A pricing model for American options with Gaussian interest rates
2000,
In this paper we introduce a new methodology to price American put options under...
Pricing knockout options with a general boundary
Pricing knockout options with a general boundary
2001,
In modern financial markets, various option contracts have been introduced and traded....
Call option pricing and replication under economic friction
Call option pricing and replication under economic friction
1998,
In this paper we incorporate multiple transactions costs in the option pricing formula...
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