Results 1  10
of
968
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 ..."
Abstract

Cited by 417 (8 self)
 Add to MetaCart
(Show Context)
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
"... ..."
(Show Context)
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 ..."
Abstract

Cited by 129 (3 self)
 Add to MetaCart
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.
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 ..."
Abstract

Cited by 127 (0 self)
 Add to MetaCart
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
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, ..."
Abstract

Cited by 105 (1 self)
 Add to MetaCart
Conference. In particular, I am grateful to an unknown RFS referee, Kerry Back, Michael Brennan, Darrell Du e,
Valuing American options in a path simulation model
 Transactions of the Society of Actuaries
, 1993
"... The goal of this paper is to dispel the prevailing belief that Americanstyle options cannot be valued efficiently in a simulation model, and thus remove what has been considered a major impediment to the use of simulation models for valuing financial instruments. We present a general algorithm for ..."
Abstract

Cited by 98 (0 self)
 Add to MetaCart
(Show Context)
The goal of this paper is to dispel the prevailing belief that Americanstyle options cannot be valued efficiently in a simulation model, and thus remove what has been considered a major impediment to the use of simulation models for valuing financial instruments. We present a general algorithm for estimating the value of American options on an underlying instrument or index for which the arbitragefree probability distribution of paths through time can be simulated. The general algorithm is tested by an example for which the exact option premium can be determined. 1.
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 ..."
Abstract

Cited by 78 (2 self)
 Add to MetaCart
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 ..."
Abstract

Cited by 76 (11 self)
 Add to MetaCart
(Show Context)
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
Optionimplied Riskneutral Distributions and Implied Binomial Trees: A Literature Review
 JOURNAL OF DERIVATIVES
, 1999
"... In this partial and selective literature review of option implied riskneutral 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

Cited by 73 (3 self)
 Add to MetaCart
In this partial and selective literature review of option implied riskneutral 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 the numerous methods of recovering riskneutral probability distributions from option prices at one particular timetoexpiration and their applications. Next, we extend our attention beyond one timetoexpiration to the construction of implied binomial trees, which model the stochastic process of the underlying asset. Finally, we describe extensions of implied binomial trees, which incorporate stochastic volatility, as well as other nonparametric methods.
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 ..."
Abstract

Cited by 71 (2 self)
 Add to MetaCart
wish to thank ny colleagues at the University of Chicago and