Results 11  20
of
178
Patents as options: pathdependency and patent value
, 2013
"... Review coordinated by Steve McCorriston Despite the growing importance of licence revenue to cashstrapped universities and research institutions, there has been no formal attempt to develop pricing models for patent licences. We recognise that patents are options on the stream of future revenues, a ..."
Abstract
 Add to MetaCart
Review coordinated by Steve McCorriston Despite the growing importance of licence revenue to cashstrapped universities and research institutions, there has been no formal attempt to develop pricing models for patent licences. We recognise that patents are options on the stream of future revenues
Pricing and hedging pathdependent options under the CEV process
 MANAGEMENT SCIENCE
, 2001
"... Much of the work on pathdependent options assumes that the underlying asset price follows geometric Brownian motion with constant volatility. This paper uses a more general assumption for the asset price process that provides a better fit to the empirical observations. We use the socalled constant ..."
Abstract

Cited by 31 (0 self)
 Add to MetaCart
Much of the work on pathdependent options assumes that the underlying asset price follows geometric Brownian motion with constant volatility. This paper uses a more general assumption for the asset price process that provides a better fit to the empirical observations. We use the so
Exotic Options: Pricing PathDependent single Barrier Option contracts
"... This paper discusses the basic properties of barrier options and an analytical solution for pricing such contracts. The significance of monitoring is considered, for example the difference between continuous monitoring and discrete monitoring. Pitfalls arising from a naïve application of standard op ..."
Abstract

Cited by 1 (0 self)
 Add to MetaCart
This paper discusses the basic properties of barrier options and an analytical solution for pricing such contracts. The significance of monitoring is considered, for example the difference between continuous monitoring and discrete monitoring. Pitfalls arising from a naïve application of standard
The distribution of the quantile of a Brownian motion with drift and the pricing of pathdependent options
 Annals of Applied Probability
, 1995
"... ..."
Convergence Of Numerical Methods For Valuing PathDependent Options Using Interpolation
, 2002
"... One method for valuing pathdependent options is the augmented state space approach described in Hull and White (1993) and Barraquand and Pudet (1996), among others. In certain cases, interpolation is required because the number of possible values of the additional state variable grows exponentially ..."
Abstract

Cited by 13 (1 self)
 Add to MetaCart
One method for valuing pathdependent options is the augmented state space approach described in Hull and White (1993) and Barraquand and Pudet (1996), among others. In certain cases, interpolation is required because the number of possible values of the additional state variable grows
ABSTRACT A NEW EFFICIENT SIMULATION STRATEGY FOR PRICING PATHDEPENDENT OPTIONS
"... The purpose of this paper is twofold. First, it serves to describe a new strategy, called Structured Database Monte Carlo (SDMC), for efficient Monte Carlo simulation. Its second aim is to show how this approach can be used for efficient pricing of pathdependent options via simulation. We use effic ..."
Abstract

Cited by 3 (1 self)
 Add to MetaCart
The purpose of this paper is twofold. First, it serves to describe a new strategy, called Structured Database Monte Carlo (SDMC), for efficient Monte Carlo simulation. Its second aim is to show how this approach can be used for efficient pricing of pathdependent options via simulation. We use
An Algorithm for the Pricing of PathDependent American Options using Malliavin Calculus
"... Abstract–We propose a recursive scheme to calculate backward the values of conditional expectations of functions of path values of Brownian motion. This schemes is based on the ClarkOcone formula in discrete time. We construct an algorithm based our scheme to effectively calculate the price of Amer ..."
Abstract
 Add to MetaCart
of American options on securities with pathdependent payoffs. Our algorithm remedies the decrease of performance experienced by regressionbased Monte Carlo when the dimensionality of the necessary regressands becomes large due to pathdependence.
OPTIMAL HEDGING OF PATHDEPENDENT OPTIONS IN DISCRETE TIME INCOMPLETE MARKET
"... Abstract. We consider hedging of a pathdependent European style option with convex continuous payoff in a discrete time incomplete market, where underlying stock price jumps are distributed over a bounded interval. The incompleteness of the market produces an interval of noarbitrage option prices ..."
Abstract
 Add to MetaCart
Abstract. We consider hedging of a pathdependent European style option with convex continuous payoff in a discrete time incomplete market, where underlying stock price jumps are distributed over a bounded interval. The incompleteness of the market produces an interval of noarbitrage option prices
SIGN TESTS FOR DEPENDENT OBSERVATIONS AND BOUNDS FOR PATHDEPENDENT OPTIONS
, 2005
"... The present paper introduces new sign tests for testing for conditionally symmetric martingaledifference assumptions as well as for testing that conditional distributions of two (arbitrary) martingaledifference sequences are the same. Our analysis is based on the results that demonstrate that rando ..."
Abstract

Cited by 3 (1 self)
 Add to MetaCart
of Binomial or normal distributions. The same is the case for randomization over ties in sign tests for equality of conditional distributions of two martingaledifference sequences. The paper also provides sharp bounds on the expected payoffs and fair prices of European call options and a wide range of pathdependent
Results 11  20
of
178