Searching for "Approximate Option Pricing." – sorted by Relevance.
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Approximate Option Pricing
- …Approximate Option Pricing PRASAD CHALASANI Los Alamos National Laboratory chal@(email omitted); http…
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Approximating the GJR-GARCH and EGARCH Option Pricing Models Analytically
- …Approximating the GJR-GARCH and EGARCH Option Pricing Models Analytically Jin-Chuan Duan…
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Penalty methods for the numerical solution of American multi-asset option problems.
- … are derived, and in the case of independent assets, we prove that the approximate option prices satisfy some…
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Penalty methods for the numerical solution of American multi-asset option problems.
- … are derived, and in the case of independent assets, we prove that the approximate option prices satisfy some…
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Models for Option Prices
- …- 1 - MODELS FOR OPTION PRICES S. T. Rachev *) and L. RiJschendorf University of California…
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Multiscale Stochastic Volatility Asymptotics
- … to illustrate our results and show how exotic option prices also can be approximated using our multiscale…
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Pricing options on defaultable stocks
- … to infer the risk neutral default intensity from the stock option prices. Our option price approximation…
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The Modified Willow Tree Algorithm ∗
- … restriction on the quantiles used to approximate the normal distribution, see Curran [3]. When pricing options…
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Valuation of American Options via Basis Functions
- … and their underlying theory are provided. Index Terms — Optimal stopping, option pricing, function approximation…
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Saddlepoint Approximations for Affine Jump-Diffusion Models
- …; Characteristic function; Option prices; Numerical approximations ∗ 403 Uris Hall, Columbia Business School, New…
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