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455
A Brief History of Generative Models for Power Law and Lognormal Distributions
 INTERNET MATHEMATICS
"... Recently, I became interested in a current debate over whether file size distributions are best modelled by a power law distribution or a a lognormal distribution. In trying ..."
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Cited by 250 (7 self)
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Recently, I became interested in a current debate over whether file size distributions are best modelled by a power law distribution or a a lognormal distribution. In trying
Efficient Analytic Approximation of American Option Values
 Journal of Finance
, 1987
"... This paper provides simple, analytic approximations for pricing exchangetraded American call and put options written on commodities and commodity futures contracts. ..."
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Cited by 159 (1 self)
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This paper provides simple, analytic approximations for pricing exchangetraded American call and put options written on commodities and commodity futures contracts.
Numerical Valuation of High Dimensional Multivariate American Securities
, 1994
"... We consider the problem of pricing an American contingent claim whose payoff depends on several sources of uncertainty. Using classical assumptions from the Arbitrage Pricing Theory, the theoretical price can be computed as the maximum over all possible early exercise strategies of the discounted ..."
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Cited by 93 (0 self)
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We consider the problem of pricing an American contingent claim whose payoff depends on several sources of uncertainty. Using classical assumptions from the Arbitrage Pricing Theory, the theoretical price can be computed as the maximum over all possible early exercise strategies of the discounted expected cash flows under the modified riskneutral information process. Several efficient numerical techniques exist for pricing American securities depending on one or few (up to 3) risk sources. They are either latticebased techniques or finite difference approximations of the BlackScholes diffusion equation. However, these methods cannot be used for highdimensional problems, since their memory requirement is exponential in the
Primaldual simulation algorithm for pricing multidimensional American options
, 2001
"... This paper describes a practical algorithm based on Monte Carlo simulation for the pricing of multidimensional American (i.e., continuously exercisable) and Bermudan (i.e., discretelyexercisable) options. The method generates both lower and upper bounds for the Bermudan option price and hence gives ..."
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Cited by 74 (2 self)
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This paper describes a practical algorithm based on Monte Carlo simulation for the pricing of multidimensional American (i.e., continuously exercisable) and Bermudan (i.e., discretelyexercisable) options. The method generates both lower and upper bounds for the Bermudan option price and hence gives valid confidence intervals for the true value. Lower bounds can be generated using any number of primal algorithms. Upper bounds are generated using a new Monte Carlo algorithm based on the duality representation of the Bermudan value function suggested independently in Haugh and Kogan (2001) and Rogers (2001). Our proposed algorithm can handle virtually any type of process dynamics, factor structure, and payout specification. Computational results for a variety of multifactor equity and interest rate options demonstrate the simplicity and efficiency of the proposed algorithm. In particular, we use the proposed method to examine and verify the tightness of frequently used exercise rules in Bermudan swaption markets.
Randomization and the American Put
 The Review of Financial Studies
, 1998
"... Conference. In particular, I am grateful to an unknown RFS referee, Kerry Back, Michael Brennan, Darrell Du e, ..."
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Cited by 53 (1 self)
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Conference. In particular, I am grateful to an unknown RFS referee, Kerry Back, Michael Brennan, Darrell Du e,
Alternative characterizations of American put options
 Mathematical Finance
, 1992
"... Viswanathan, and the participants of workshops at Vanderbilt University and Cornell University. The first two authors are grateful for financial support from Banker’s Trust. We are particularly grateful to Henry McKean for many valuable discussions. Alternative Characterizations of American Put Opti ..."
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Cited by 45 (1 self)
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Viswanathan, and the participants of workshops at Vanderbilt University and Cornell University. The first two authors are grateful for financial support from Banker’s Trust. We are particularly grateful to Henry McKean for many valuable discussions. Alternative Characterizations of American Put Options We derive alternative representations of the McKean equation for the value of the American put option. Our main result decomposes the value of an American put option into the corresponding European put price and the early exercise premium. We then represent the European put price in a new manner. This representation allows us to alternatively decompose the price of an American put option into its intrinsic value and time value, and to demonstrate the equivalence of our results to the McKean equation. Alternative Characterizations of American Put Options The problem of valuing American options continues to intrigue finance theorists. For example, in
CIEL: a universal execution engine for distributed dataflow computing
 in Proceedings of the 8th USENIX Symposium on Networked System Design and Implementation (NSDI). USENIX
"... This paper introduces CIEL, a universal execution engine for distributed dataflow programs. Like previous execution engines, CIEL masks the complexity of distributed programming. Unlike those systems, a CIEL job can make datadependent controlflow decisions, which enables it to compute iterative a ..."
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Cited by 42 (9 self)
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This paper introduces CIEL, a universal execution engine for distributed dataflow programs. Like previous execution engines, CIEL masks the complexity of distributed programming. Unlike those systems, a CIEL job can make datadependent controlflow decisions, which enables it to compute iterative and recursive algorithms. We have also developed Skywriting, a Turingcomplete scripting language that runs directly on CIEL. The execution engine provides transparent fault tolerance and distribution to Skywriting scripts and highperformance code written in other programming languages. We have deployed CIEL on a cloud computing platform, and demonstrate that it achieves scalable performance for both iterative and noniterative algorithms. 1
Calibrating Volatility Surfaces Via RelativeEntropy Minimization
 Applied Mathematical Finance
, 1997
"... We present a framework for calibrating a pricing model to a prescribed set of option prices quoted... ..."
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Cited by 42 (2 self)
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We present a framework for calibrating a pricing model to a prescribed set of option prices quoted...
Statistical Mechanics of Nonlinear Nonequilibrium Financial Markets: Applications to Optimized Trading
 MATH. MODELLING
, 1996
"... A paradigm of statistical mechanics of financial markets (SMFM) using nonlinear nonequilibrium algorithms, first published in L. Ingber, Mathematical Modelling, 5, 343361 (1984), is fit to multivariate financial markets using Adaptive Simulated Annealing (ASA), a global optimization algorithm, to p ..."
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Cited by 41 (34 self)
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A paradigm of statistical mechanics of financial markets (SMFM) using nonlinear nonequilibrium algorithms, first published in L. Ingber, Mathematical Modelling, 5, 343361 (1984), is fit to multivariate financial markets using Adaptive Simulated Annealing (ASA), a global optimization algorithm, to perform maximum likelihood fits of Lagrangians defined by path integrals of multivariate conditional probabilities. Canonical momenta are thereby derived and used as technical indicators in a recursive ASA optimization process to tune trading rules. These trading rules are then used on outofsample data, to demonstrate that they can profit from the SMFM model, to illustrate that these markets are likely not efficient.
Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns
 Journal of Financial Economics
, 1984
"... wish to thank ny colleagues at the University of Chicago and ..."
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Cited by 41 (2 self)
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wish to thank ny colleagues at the University of Chicago and