Option-études Châteauguay

Études in non-interactive zero-knowledge

N a ZERO-KNOWLEDGE PROOF [GMR85], Prover interactively convinces Verifier that theorem 7r is true in such a way that (a) a corrupt Prover cannot convince Verifier of a false theorem and (b) a corrupt Verifier cannot "learn" anything other than the fact that r is true. In a NON-INTERACTIVE ZERO-KNOWLEDGE PROOF [BFM88], the Prover must do the above by sending only a single message to Verifier! To...

Alignement entre ontologie de domaine et la Snomed: trois études de cas

Résumé : Les expériences sur les ontologies montrent de plus en plus clairement qu’elles ne représentent correctement et de façon consensuelle que des domaines réduits. Ainsi, les ontologies de domaines sont développées pour des applications particulières alors que des ontologies de référence tendent à être utilisées pour fédérer les résultats des applications spécifiques. Nous présentons dans ...

Valuation of installment option by penalty method

In this paper, installment options on the underlying asset which evolves according to Black-Scholes model and pays constant dividend to its owner will be considered. Applying arbitrage pricing theory, the non-homogeneous parabolic partial differential equation governing the value of installment option is derived. Then, penalty method is used to value the European continuous installment call opt...

Contributions à la compréhension de problèmes d'optimisation combinatoire et études d'extensions de la méthode B

Meshfree Methods in Option Pricing Meshfree Methods in Option Pricing

A meshfree approximation scheme based on the radial basis function methods is presented for the numerical solution of the options pricing model. This thesis deals with the valuation of the European, Barrier, Asian, American options of a single asset and American options of multi assets. The option prices are modeled by the Black-Scholes equation. The θ-method is used to discretize the equation ...