Add to ORKGThis paper is dedicated to a new binomial lattice method (MSM) consistent with the Black-Scholes model in the limit of an infinite step number and such that the Strike $K$ is equal to one of the final nodes of the tree. The method is very easy to implement, since the parameters are explicitly given. Asymptotic expansions are obtained for the MSM European Put price and delta, which motivates the use of Richardson extrapolation. A numerical comparison with the best lattice based numerical methods known in literature, shows the efficiency of the proposed algorithm for pricing and hedging American Put options
In the paper we consider the elasticity equations in nonsmooth domains in $R^n, n=2,3$. The domains ...
The writings of the linguist and philologist J. Vinson were largely responsible for introducing to B...
Let S be a point set in the plane in general position, such that its elements are partitioned into k...
This paper is dedicated to a new binomial lattice method (MSM) consistent with the Black-Scholes mod...
Présenté par M. BozzoTOTEM will measure the total pp cross-section at LHC by using a luminosity inde...
The lowest static reduction (LSR) is the 0^th-order Control-Flow Analysis without continuation passi...
An algorithm for finding small-weight words in large linear codes is developed. It is in particular ...
We show how any linear feedback law which asymptotically stabilizes the origin of a linear integrato...
We present Coca, an automated debugger for C, where the breakpoint mechanism is based on events rela...
A control strategy for tracking an omnidirectional target with a unicycle-like robot is proposed. An...
This report proposes a design methodology for embedded real-time systems using a synchronous multi-c...
International audienceA number of methods have been proposed in the recent years to perform the nume...
Original article can be found at: http://www.springerlink.com/Overcoming the memory wall [15] may be...
Numerical technologies have generated for a few years, huge volumes of data, which can conceal usefu...
We present a radix-10 variant of the BKM algorithm. It is a shift-and-add, CORDIC-like algorithm tha...
In the paper we consider the elasticity equations in nonsmooth domains in $R^n, n=2,3$. The domains ...
The writings of the linguist and philologist J. Vinson were largely responsible for introducing to B...
Let S be a point set in the plane in general position, such that its elements are partitioned into k...
This paper is dedicated to a new binomial lattice method (MSM) consistent with the Black-Scholes mod...
Présenté par M. BozzoTOTEM will measure the total pp cross-section at LHC by using a luminosity inde...
The lowest static reduction (LSR) is the 0^th-order Control-Flow Analysis without continuation passi...
An algorithm for finding small-weight words in large linear codes is developed. It is in particular ...
We show how any linear feedback law which asymptotically stabilizes the origin of a linear integrato...
We present Coca, an automated debugger for C, where the breakpoint mechanism is based on events rela...
A control strategy for tracking an omnidirectional target with a unicycle-like robot is proposed. An...
This report proposes a design methodology for embedded real-time systems using a synchronous multi-c...
International audienceA number of methods have been proposed in the recent years to perform the nume...
Original article can be found at: http://www.springerlink.com/Overcoming the memory wall [15] may be...
Numerical technologies have generated for a few years, huge volumes of data, which can conceal usefu...
We present a radix-10 variant of the BKM algorithm. It is a shift-and-add, CORDIC-like algorithm tha...
In the paper we consider the elasticity equations in nonsmooth domains in $R^n, n=2,3$. The domains ...
The writings of the linguist and philologist J. Vinson were largely responsible for introducing to B...
Let S be a point set in the plane in general position, such that its elements are partitioned into k...