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38,749
The Valuation of Options for Alternative Stochastic Processes
- Journal of Financial Economics
, 1976
"... This paper examines the structure of option valuation problems and develops a new technique for their solution. It also introduces several jump and diffusion processes which have nol been used in previous models. The technique is applied lo these processes to find explicit option valuation formulas, ..."
Abstract
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Cited by 679 (5 self)
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This paper examines the structure of option valuation problems and develops a new technique for their solution. It also introduces several jump and diffusion processes which have nol been used in previous models. The technique is applied lo these processes to find explicit option valuation formulas
Option pricing when underlying stock returns are discontinuous
- Journal of Financial Economics
, 1976
"... The validity of the classic Black-Scholes option pricing formula dcpcnds on the capability of investors to follow a dynamic portfolio strategy in the stock that replicates the payoff structure to the option. The critical assumption required for such a strategy to be feasible, is that the underlying ..."
Abstract
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Cited by 1001 (3 self)
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In their classic paper on the theory of option pricing, Black and Scholcs (1973) prcscnt a mode of an:llysis that has rcvolutionizcd the theory of corporate liability pricing. In part, their approach was a breakthrough because it leads to pricing formulas using. for the most part, only obscrvablc variables
A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Review of Financial Studies
, 1993
"... I use a new technique to derive a closed-form solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spotasset returns. I introduce stochastic interest rates and show how to apply the model to bond option ..."
Abstract
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Cited by 1512 (6 self)
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I use a new technique to derive a closed-form solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spotasset returns. I introduce stochastic interest rates and show how to apply the model to bond
Valuing American options by simulation: A simple least-squares approach
- Review of Financial Studies
, 2001
"... This article presents a simple yet powerful new approach for approximating the value of America11 options by simulation. The kcy to this approach is the use of least squares to estimate the conditional expected payoff to the optionholder from continuation. This makes this approach readily applicable ..."
Abstract
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Cited by 517 (9 self)
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This article presents a simple yet powerful new approach for approximating the value of America11 options by simulation. The kcy to this approach is the use of least squares to estimate the conditional expected payoff to the optionholder from continuation. This makes this approach readily
Between MDPs and Semi-MDPs: A Framework for Temporal Abstraction in Reinforcement Learning
, 1999
"... Learning, planning, and representing knowledge at multiple levels of temporal abstraction are key, longstanding challenges for AI. In this paper we consider how these challenges can be addressed within the mathematical framework of reinforcement learning and Markov decision processes (MDPs). We exte ..."
Abstract
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Cited by 569 (38 self)
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and action to be included in the reinforcement learning framework in a natural and general way. In particular, we show that options may be used interchangeably with primitive actions in planning methods such as dynamic programming and in learning methods such as Q-learning. Formally, a set of options defined
MAFFT version 5: improvement in accuracy of multiple sequence alignment
- NUCLEIC ACIDS RES
, 2005
"... The accuracy of multiple sequence alignment pro-gram MAFFT has been improved. The new version (5.3) of MAFFT offers new iterative refinement options, H-INS-i, F-INS-i and G-INS-i, in which pairwise alignment information are incorporated into objective function. These new options of MAFFT showed high ..."
Abstract
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Cited by 801 (5 self)
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database. Such improvement was gen-erally observed for most methods, but remarkably large for the new options of MAFFT proposed here. Thus, we made a Ruby script, mafftE.rb, which aligns the input sequences together with their close homologues collected from SwissProt using NCBI-BLAST.
Implementing remote procedure calls
- ACM Transactions on Computer Systems
, 1984
"... Remote procedure calls (RPC) appear to be a useful paradig m for providing communication across a network between programs written in a high-level language. This paper describes a package providing a remote procedure call facility, the options that face the designer of such a package, and the decisi ..."
Abstract
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Cited by 1059 (5 self)
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Remote procedure calls (RPC) appear to be a useful paradig m for providing communication across a network between programs written in a high-level language. This paper describes a package providing a remote procedure call facility, the options that face the designer of such a package
Support Vector Machine Active Learning with Applications to Text Classification
- JOURNAL OF MACHINE LEARNING RESEARCH
, 2001
"... Support vector machines have met with significant success in numerous real-world learning tasks. However, like most machine learning algorithms, they are generally applied using a randomly selected training set classified in advance. In many settings, we also have the option of using pool-based acti ..."
Abstract
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Cited by 735 (5 self)
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Support vector machines have met with significant success in numerous real-world learning tasks. However, like most machine learning algorithms, they are generally applied using a randomly selected training set classified in advance. In many settings, we also have the option of using pool
Live Migration of Virtual Machines
- In Proceedings of the 2nd ACM/USENIX Symposium on Networked Systems Design and Implementation (NSDI
, 2005
"... Migrating operating system instances across distinct physical hosts is a useful tool for administrators of data centers and clusters: It allows a clean separation between hardware and software, and facilitates fault management, load balancing, and low-level system maintenance. By carrying out the ma ..."
Abstract
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Cited by 636 (15 self)
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Migrating operating system instances across distinct physical hosts is a useful tool for administrators of data centers and clusters: It allows a clean separation between hardware and software, and facilitates fault management, load balancing, and low-level system maintenance. By carrying out
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