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Abstract: As increasingly large volumes of sophisticated options are traded in world financial markets, determining a "fair" price for these options has become an important and difficult computational problem. Many valuation codes use the binomial pricing model, in which the stock price is driven by a random walk. In this model, the value of an n-period option on a stock is the expected time-discounted value of the future cash flow on an n- period stock price path. Path-dependent options are... (Update)
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BibTeX entry: (Update)
P. Chalasani, S. Jha, and I. Saias. Approximate option pricing. In Proc. IEEE Symp. Foundations of Computer Science, 1994. To appear in Algorithmica. http://citeseer.ist.psu.edu/chalasani97approximate.html More
@inproceedings{ chalasani96approximate,
author = "Prasad Chalasani and Somesh Jha and Isaac Saias",
title = "Approximate Option Pricing",
booktitle = "{IEEE} Symposium on Foundations of Computer Science",
pages = "244-253",
year = "1996",
url = "citeseer.ist.psu.edu/chalasani97approximate.html" }
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42 and Other Derivative Securities (context) - Hull, Futures - 1993
33 Options: A monte carlo approach (context) - Boyle - 1977
27 The valuation of american put options (context) - Brennan, Schwartz - 1977
23 A quick algorithm for pricing european average options (context) - Turnbull, Wakeman - 1991
21 The value of an asian option (context) - Rogers, Shi - 1995
16 Efficient procedures for valuing european and american path-.. (context) - Hull, White - 1993
16 Finite difference methods and jump processes arising in the .. (context) - Brennan, Schwartz - 1978
[Article contains additional citations not shown here]
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