Model-Independent Bounds for Asian Options: A Dynamic Programming Approach

Model-Independent Bounds for Asian Options: A Dynamic Programming Approach

Seminar & Events Bulletin: Financial/actuarial Mathematics Model-independent Bounds for Asian Options: a Dynamic Programming Approach --1360 East Hall

Financial/Actuarial Mathematics Wednesday, September 09, 2015, 4:00pm-5:00pm 1360 East Hall Yavor Stoev (UM) Equilibrium with imbalance of the derivative market We investigate the impact of imbalanced derivative markets markets in which not all agents hedge on the underlying stock market. The availability of a closed-form representation for the equilibrium stock price in the context of a comple...

Stochastic Volatility with a Markov Switching Regime --1360 East Hall Model-independent Bounds for Asian Options: a Dynamic Programming Approach --1360 East Hall

Financial/Actuarial Mathematics Wednesday, August 26, 2015, 3:00pm-4:00pm 1360 East Hall Katsumasa Nishide (Yokohama National University) Heston-Type Stochastic Volatility with a Markov Switching Regime We construct a Heston-type stochastic volatility model with a Markov switching regime to price a plain-vanilla stock option. A semi-analytic solution, which contains a matrix ODE is obtained and...

A Dynamic Programming Procedure for Pricing American-Style Asian Options

Hatem Ben-Ameur • Michèle Breton • Pierre L’Ecuyer GERAD and Département des Méthodes Quantitatives de Gestion, École des H.E.C., 3000 Chemin de la Côte Sainte-Catherine, Montréal, Canada H3T 2A7 GERAD and Département des Méthodes Quantitatives de Gestion, École des H.E.C., 3000 Chemin de la Côte Sainte-Catherine, Montréal, Canada H3T 2A7 GERAD and Département d’Informatique et de Recherche Opé...

A dynamic programming approach for solving nonlinear knapsack problems

Nonlinear Knapsack Problems (NKP) are the alternative formulation for the multiple-choice knapsack problems. A powerful approach for solving NKP is dynamic programming which may obtain the global op-timal solution even in the case of discrete solution space for these problems. Despite the power of this solu-tion approach, it computationally performs very slowly when the solution space of the pr...