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Results 11 - 20
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322
Efficient Simulation of Multiple Cache Configurations using Binomial Trees
, 1991
"... Simulation time is often the bottleneck in the cache design process. In this paper, algorithms for the efficient simulation of direct mapped and set associative caches are presented. Two classes of direct mapped caches are considered: fixed line size caches and fixed size caches. A binomial tree rep ..."
Abstract
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Cited by 19 (1 self)
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Simulation time is often the bottleneck in the cache design process. In this paper, algorithms for the efficient simulation of direct mapped and set associative caches are presented. Two classes of direct mapped caches are considered: fixed line size caches and fixed size caches. A binomial tree
Dynamically Adaptive Binomial Trees for Broadcasting in Heterogeneous Networks of Workstations
"... Abstract. Binomial trees have been used extensively for broadcasting in clusters of workstations. In the case of heterogeneous nondedicated clusters and grid environments, the broadcasting occurs over a heterogeneous network, and the performance obtained by the broadcast algorithm will depend on the ..."
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Abstract. Binomial trees have been used extensively for broadcasting in clusters of workstations. In the case of heterogeneous nondedicated clusters and grid environments, the broadcasting occurs over a heterogeneous network, and the performance obtained by the broadcast algorithm will depend
Architecture Independent Parallel Binomial Tree Option Price Valuations
- Parallel Computing
, 2002
"... We introduce an architecture independent approach in describing how computations such as those involved in American or European-style option valuations can be performed in parallel in the binomial-tree model. In particular we present an algorithm for the multiplicative binomial tree option-pricing m ..."
Abstract
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Cited by 13 (1 self)
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We introduce an architecture independent approach in describing how computations such as those involved in American or European-style option valuations can be performed in parallel in the binomial-tree model. In particular we present an algorithm for the multiplicative binomial tree option
A Modified Binomial Tree Method for Currency Lookback Options *
, 2000
"... Abstract The binomial tree method is the most popular numerical approach to pricing options. However, for currency lookback options, this method is not consistent with the corresponding continuous models, which leads to slow speed of convergence. On the basis of PDE approach, we develope a consiste ..."
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Abstract The binomial tree method is the most popular numerical approach to pricing options. However, for currency lookback options, this method is not consistent with the corresponding continuous models, which leads to slow speed of convergence. On the basis of PDE approach, we develope a
The All-Ones Problem for Binomial Trees, Butterfly and Benes Networks
"... The all-ones problem is an NP-complete problem introduced by Sutner [11], with wide applica-tions in linear cellular automata. In this paper, we solve the all-ones problem for some of the widely studied architectures like binomial trees, butterfly, and benes networks. ..."
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The all-ones problem is an NP-complete problem introduced by Sutner [11], with wide applica-tions in linear cellular automata. In this paper, we solve the all-ones problem for some of the widely studied architectures like binomial trees, butterfly, and benes networks.
The Libor Market Model: A Recombining Binomial Tree Methodology
, 2005
"... The Libor Market Model: A Recombining Binomial Tree Methodology We propose an implementation of the Libor Market Model, adapting the recombining node methodology of Ho, Stapleton and Subrahmanyam (1995). Initial tests on one-factor and two-factor versions of the model suggest that the method provide ..."
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The Libor Market Model: A Recombining Binomial Tree Methodology We propose an implementation of the Libor Market Model, adapting the recombining node methodology of Ho, Stapleton and Subrahmanyam (1995). Initial tests on one-factor and two-factor versions of the model suggest that the method
American Basket and Spread Option pricing by a Simple Binomial Tree
"... In this article we address the problem of valuing and hedging American options on baskets and spreads, i.e., on portfolios consisting of both long and short positions. We adopt the main ideas of the Generalized Lognormal (GLN) approach introduced in Borovkova et al. (2007) and extend them to the cas ..."
Abstract
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Cited by 1 (0 self)
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of basket increments ’ distribution. We construct a simple binomial tree for an arbitrary basket, by matching the basket’s volatility, and evaluate our approach by comparing the binomial tree option prices to those obtained by other meth-ods, whenever possible. Moreover, we evaluate the delta
Option-implied Risk-neutral Distributions and Implied Binomial Trees: A Literature Review
- JOURNAL OF DERIVATIVES
, 1999
"... In this partial and selective literature review of option implied risk-neutral distributions and of implied binomial trees, we start by observing that in efficient markets, there is information contained in option prices, which might help us to design option pricing models. To this end, we review ..."
Abstract
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Cited by 74 (3 self)
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In this partial and selective literature review of option implied risk-neutral distributions and of implied binomial trees, we start by observing that in efficient markets, there is information contained in option prices, which might help us to design option pricing models. To this end, we review
Improving Binomial Trees for Broadcasting in Local Networks of Workstations 1
"... Abstract. NOWs (Networks of workstations) have been extensively used to execute parallel applications. Although NOWs seem to be an easy and inexpensive way of obtaining great performance, it may not always be so. When using such an environment for executing a parallel application, performance may no ..."
Abstract
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Cited by 2 (0 self)
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NOW may be more challenging due to the variety of communication links and, consequently, of point-to-point latencies. In this paper, we present a strategy to improve broadcast algorithms that are based on binomial trees, which are used in regular-topology platforms, so that they can execute
Multifactor Generalization of ”Discount-Bond Derivatives on a Recombining Binomial Tree”
"... The security dynamics described by the Black-Scholes equation with price-dependent variance can be approximated as a damped discrete-time hopping process on a recombining binomial tree. In a previous working paper, such a nonuniform tree was explicitly constructed in terms of the continuous-time var ..."
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The security dynamics described by the Black-Scholes equation with price-dependent variance can be approximated as a damped discrete-time hopping process on a recombining binomial tree. In a previous working paper, such a nonuniform tree was explicitly constructed in terms of the continuous
Results 11 - 20
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322
