scholarly journals Computational aspects of robust optimized certainty equivalents and option pricing

2019 ◽  
Vol 30 (1) ◽  
pp. 287-309 ◽  
Author(s):  
Daniel Bartl ◽  
Samuel Drapeau ◽  
Ludovic Tangpi
Keyword(s):  
Option Pricing ◽  
Certainty Equivalents ◽  
Computational Aspects

COMPUTATIONAL ASPECTS OF MONTE-CARLO SIMULATIONS OF THE FIRST PASSAGE TIME FOR MULTIVARIATE TRANSFORMED BROWNIAN MOTIONS WITH JUMPS

2013 ◽  
Vol 10 (05) ◽  
pp. 1350026 ◽  
Author(s):  
DI ZHANG ◽  
RODERICK V. N. MELNIK
Keyword(s):  
Stochastic Process ◽  
Monte Carlo ◽  
Option Pricing ◽  
First Passage Time ◽  
Jump Diffusion ◽  
Passage Time ◽  
First Passage ◽  
Efficient Tool ◽  
Default Rates ◽  
Computational Aspects

Many problems in science, engineering, and finance require the information on the first passage time (FPT) of a stochastic process. Mathematically, such problems are often reduced to the evaluation of the probability density of the time for such a process to cross a certain level, a boundary, or to enter a certain region. While in other areas of applications the FPT problem can often be solved analytically, in finance we usually have to resort to the application of numerical procedures, in particular when we deal with jump-diffusion stochastic processes (JDP). In this paper, we propose a Monte-Carlo-based methodology for the solution of the FPT problem in the context of multivariate (and correlated) JDPs. The developed technique provides an efficient tool for a number of applications, including credit risk and option pricing. We demonstrate its applicability to the analysis of default rates and default correlations of several different, but correlated firms via a set of empirical data.

Physical and Computational Aspects of Convective Heat Transfer

1984 ◽  
Author(s):  
Tuncer Cebeci ◽  
Peter Bradshaw
Keyword(s):  
Heat Transfer ◽  
Convective Heat Transfer ◽  
Convective Heat ◽  
Computational Aspects

A new stochastic gradient estimator for American option pricing

2009 ◽  
Author(s):  
Yongqiang Wang ◽  
Michael C. Fu ◽  
Steven I. Marcus
Keyword(s):  
Option Pricing ◽  
American Option ◽  
Stochastic Gradient ◽  
American Option Pricing

Analytical and computational aspects of collaborative optimization for multidisciplinary design

AIAA Journal ◽  
2002 ◽  
Vol 40 ◽  
pp. 301-309 ◽  
Author(s):  
N. M. Alexandrov ◽  
R. M. Lewis
Keyword(s):  
Collaborative Optimization ◽  
Multidisciplinary Design ◽  
Computational Aspects

Some aspects of familiarization with binomial coefficients

2019 ◽  
pp. 49-53
Author(s):  
Abdulkarim Magomedov ◽  
S.A. Lavrenchenko
Keyword(s):  
Elementary Mathematics ◽  
Binomial Coefficients ◽  
Computational Aspects

New laconic proofs of two classical statements of combinatorics are proposed, computational aspects of binomial coefficients are considered, and examples of their application to problems of elementary mathematics are given.

Computational Aspects of the ARA Three Invariant Constitutive Model.

1986 ◽  
Author(s):  
William C. Dass ◽  
Douglas H. Merkle
Keyword(s):  
Constitutive Model ◽  
Computational Aspects

On empirical likelihood option pricing

2017 ◽  
Vol 19 (5) ◽  
pp. 41-53
Author(s):  
Xiaolong Zhong ◽  
Jie Cao ◽  
Yong Jin ◽  
Wei Zheng
Keyword(s):  
Option Pricing ◽  
Empirical Likelihood

An analytical approximation for the GARCH option pricing model

1999 ◽  
Vol 2 (4) ◽  
pp. 75-116 ◽  
Author(s):  
Jin-Chuan Duan ◽  
Geneviève Gauthier ◽  
Jean-Guy Simonato
Keyword(s):  
Option Pricing ◽  
Analytical Approximation ◽  
Pricing Model ◽  
Option Pricing Model

Option pricing by transform methods: extensions, unification and error control

2004 ◽  
Vol 7 (3) ◽  
pp. 51-86 ◽  
Author(s):  
Roger Lee
Keyword(s):  
Option Pricing ◽  
Error Control ◽  
Transform Methods
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