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
This paper describes parts of a patent taken out by the INRIAThis paper describes a totally new way ...
This paper investigates structural properties of occurrence (Petri) nets and their interpretation as...
In the paper we consider the elasticity equations in nonsmooth domains in $R^n, n=2,3$. The domains ...
This paper is dedicated to a new binomial lattice method (MSM) consistent with the Black-Scholes mod...
A control strategy for tracking an omnidirectional target with a unicycle-like robot is proposed. An...
We present Coca, an automated debugger for C, where the breakpoint mechanism is based on events rela...
An algorithm for finding small-weight words in large linear codes is developed. It is in particular ...
We present a name-passing calculus that can be regarded as a simplified pi-calculus equipped with a ...
This paper introduces a three-dimensional mesh generation algorithm for domains bounded by smooth su...
Original article can be found at: http://www.springerlink.com/Overcoming the memory wall [15] may be...
The lowest static reduction (LSR) is the 0^th-order Control-Flow Analysis without continuation passi...
International audienceThe worldwide computing grid is essential to the LHC experiments in analysing ...
We show how any linear feedback law which asymptotically stabilizes the origin of a linear integrato...
Odyssée is an automatic differentiation (AD) package developed at INRIA. This tool is able to differ...
This report proposes a design methodology for embedded real-time systems using a synchronous multi-c...
This paper describes parts of a patent taken out by the INRIAThis paper describes a totally new way ...
This paper investigates structural properties of occurrence (Petri) nets and their interpretation as...
In the paper we consider the elasticity equations in nonsmooth domains in $R^n, n=2,3$. The domains ...
This paper is dedicated to a new binomial lattice method (MSM) consistent with the Black-Scholes mod...
A control strategy for tracking an omnidirectional target with a unicycle-like robot is proposed. An...
We present Coca, an automated debugger for C, where the breakpoint mechanism is based on events rela...
An algorithm for finding small-weight words in large linear codes is developed. It is in particular ...
We present a name-passing calculus that can be regarded as a simplified pi-calculus equipped with a ...
This paper introduces a three-dimensional mesh generation algorithm for domains bounded by smooth su...
Original article can be found at: http://www.springerlink.com/Overcoming the memory wall [15] may be...
The lowest static reduction (LSR) is the 0^th-order Control-Flow Analysis without continuation passi...
International audienceThe worldwide computing grid is essential to the LHC experiments in analysing ...
We show how any linear feedback law which asymptotically stabilizes the origin of a linear integrato...
Odyssée is an automatic differentiation (AD) package developed at INRIA. This tool is able to differ...
This report proposes a design methodology for embedded real-time systems using a synchronous multi-c...
This paper describes parts of a patent taken out by the INRIAThis paper describes a totally new way ...
This paper investigates structural properties of occurrence (Petri) nets and their interpretation as...
In the paper we consider the elasticity equations in nonsmooth domains in $R^n, n=2,3$. The domains ...