Displaying similar documents to “The numerical valuation of options with underlying jumps.”

DG method for numerical pricing of multi-asset Asian options—the case of options with floating strike

Jiří Hozman, Tomáš Tichý (2017)

Applications of Mathematics

Similarity:

Option pricing models are an important part of financial markets worldwide. The PDE formulation of these models leads to analytical solutions only under very strong simplifications. For more general models the option price needs to be evaluated by numerical techniques. First, based on an ideal pure diffusion process for two risky asset prices with an additional path-dependent variable for continuous arithmetic average, we present a general form of PDE for pricing of Asian option contracts...

Using Monte Carlo Methods to Evaluate Sub-Optimal Exercise Policies for American Options

Alobaidi, Ghada, Mallier, Roland (2002)

Serdica Mathematical Journal

Similarity:

∗This research, which was funded by a grant from the Natural Sciences and Engineering Research Council of Canada, formed part of G.A.’s Ph.D. thesis [1]. In this paper we use a Monte Carlo scheme to find the returns that an uninformed investor might expect from an American option if he followed one of several näıve exercise strategies rather than the optimal exercise strategy. We consider several such strategies that an ill-advised investor might follow. We also consider...