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 Black-Scholes framework and can more easily price options with complex structures
Purpose. The purpose of this article is to propose a detailed methodology to estimate, model and inc...
Abstract. A pricing method resulting in a closed formula is proposed for a large class of options su...
Abstract: One of the most widely used option valuation procedures among practitioners is a version ...
The standard Black-Scholes approach to option valuation becomes cumbersome and may fail to yield a s...
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 (...
Stock Options are financial instruments whose values depend upon future price movements of the under...
In this thesis, several compound options and a real option application will be valued. First, an int...
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...
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...
Purpose. The purpose of this article is to propose a detailed methodology to estimate, model and inc...
Abstract. A pricing method resulting in a closed formula is proposed for a large class of options su...
Abstract: One of the most widely used option valuation procedures among practitioners is a version ...
The standard Black-Scholes approach to option valuation becomes cumbersome and may fail to yield a s...
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 (...
Stock Options are financial instruments whose values depend upon future price movements of the under...
In this thesis, several compound options and a real option application will be valued. First, an int...
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...
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...
Purpose. The purpose of this article is to propose a detailed methodology to estimate, model and inc...
Abstract. A pricing method resulting in a closed formula is proposed for a large class of options su...
Abstract: One of the most widely used option valuation procedures among practitioners is a version ...
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