The standard Black-Scholes approach to option valuation becomes cumbersome and may fail to yield a solution when applied to non-standard options such as those emerging in water markets. An alternative tool, numerical quadrature, avoids some restrictive assumptions of the BlackScholes framework and can more easily price options with complex structures
Abstract: One of the most widely used option valuation procedures among practitioners is a version ...
The Black-Scholes option pricing model (1973) can be intimidating for the novice. By rearranging and...
Abstract. A pricing method resulting in a closed formula is proposed for a large class of options su...
The standard Black-Scholes approach to option valuation becomes cumbersome and may fail to yield a s...
AbstractExceptional accuracy and speed for option pricing are available via quadrature (Andricopoulo...
This thesis advances the research on the quadrature (QUAD) method. We aim to make it more computatio...
In this paper I use financial derivative pricing theory as a foundation for a computational approach...
© 2014 The Authors. Exceptional accuracy and speed for option pricing are available via quadrature (...
In this thesis, several compound options and a real option application will be valued. First, an int...
Stock Options are financial instruments whose values depend upon future price movements of the under...
Two new numerical methods for the valuation of American and Bermudan options are proposed, which adm...
The potential economic benefits that options contracts bring to the Murray Valley water market in Au...
Purpose. The purpose of this article is to propose a detailed methodology to estimate, model and inc...
The main topic of this thesis is the analysis of finite differences and multigrid methods for the so...
Now a days mathematics can be used for many different purposes or topics, and every day new fields t...
Abstract: One of the most widely used option valuation procedures among practitioners is a version ...
The Black-Scholes option pricing model (1973) can be intimidating for the novice. By rearranging and...
Abstract. A pricing method resulting in a closed formula is proposed for a large class of options su...
The standard Black-Scholes approach to option valuation becomes cumbersome and may fail to yield a s...
AbstractExceptional accuracy and speed for option pricing are available via quadrature (Andricopoulo...
This thesis advances the research on the quadrature (QUAD) method. We aim to make it more computatio...
In this paper I use financial derivative pricing theory as a foundation for a computational approach...
© 2014 The Authors. Exceptional accuracy and speed for option pricing are available via quadrature (...
In this thesis, several compound options and a real option application will be valued. First, an int...
Stock Options are financial instruments whose values depend upon future price movements of the under...
Two new numerical methods for the valuation of American and Bermudan options are proposed, which adm...
The potential economic benefits that options contracts bring to the Murray Valley water market in Au...
Purpose. The purpose of this article is to propose a detailed methodology to estimate, model and inc...
The main topic of this thesis is the analysis of finite differences and multigrid methods for the so...
Now a days mathematics can be used for many different purposes or topics, and every day new fields t...
Abstract: One of the most widely used option valuation procedures among practitioners is a version ...
The Black-Scholes option pricing model (1973) can be intimidating for the novice. By rearranging and...
Abstract. A pricing method resulting in a closed formula is proposed for a large class of options su...
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