نتایج جستجو برای: european and american option difference schemes
تعداد نتایج: 16921562 فیلتر نتایج به سال:
In this paper, we study the problem of pricing multi-asset American-style options in the Heston-Hull-White model. It is widely recognized that our intended model compared to the original Heston model, due to its stochastic interest rate and stochastic volatility, is more compatible with the realistic of the market. We demonstrate the efficiency and accuracy of the our proposed method by verifyi...
Liu process is a new tool to deal with the noise process based on uncertainty theory. In this paper, we view the foreign exchange rate as an uncertain process, described by an uncertain differential equation driven by Liu process, and build an uncertain currency model. Then the uncertain currency option processes are discussed. Moreover, European and American currency option pricing formulas ar...
abstract lexical knowledge of complex english words is an important part of language skills and crucial for fluent language use (nation, 2001). the present study, thus, was an attempt to assess the role of morphological decomposition awareness as a vocabulary learning strategy on learners’ productive and receptive recall and recognition of complex english words. so 90 sophomores (female and ma...
pinch analysis (pa) is used as a powerful tool for targeting and synthesis of heat and mass exchange networks. pa for solving includes extended and complex operation although having a simple concept. according to this matter, need for creating a pa software is clear hence famous an american and european cooperation introduce extensive and powerful software by applying advanced programming langu...
We derive high-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. The schemes are fourth-order accurate in space and secondorder accurate in time for vanishing correlation. In our numerical study we obtain highorder numerical convergence also for non-zero correlation and non-smooth payoffs which are typical in option pricing. In all ...
the aim of this study has been to find answers for the following questions: 1. what is the effect of immediate correction on students pronunciation errors? 2. what would be the effect of teaching the more rgular patterns of english pronunciation? 3. is there any significant difference between the two methods of dealing with pronuciation errore, i. e., correction and the teaching of the regular ...
We propose a time-adaptive high-order compact finite difference scheme for option pricing in family of stochastic volatility models. employ semi-discrete method the spatial discretisation, and combine this with an adaptive time extending ideas from [LSRHF02] to fourth-order multistep methods time.
For its theoretical interest and strong impact on financial markets, option valuation is considered one of the cornerstones of contemporary mathematical finance. This paper specifically studies the valuation of exotic options with digital payoff and flexible payment plan. By means of the Incomplete Fourier Transform, the pricing problem is solved in order to find integral representations of the...
A. Cubature on Wiener space [Lyons, T.; Victoir, N.; Proc. R. Soc. Lond. A 8 January 2004 vol. 460 no. 2041 169-198] provides a powerful alternative to Monte Carlo simulation for the integration of certain functionals on Wiener space. More specifically, and in the language of mathematical finance, cubature allows for fast computation of European option prices in generic diffusion models....
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