Titlebook: Topics in Numerical Methods for Finance; Mark Cummins,Finbarr Murphy,John J.H. Miller Conference proceedings 2012 Springer Science+Busines

極端的正確性

分期付款

Endometrium

慟哭

燕麥

GULF

Moving Least Squares for Arbitrage-Free Price and Volatility Surfaces,e. To avoid mis-pricing and arbitrage strategies, the approximation must be arbitrage free. Based on the moving least squares (MLS) reconstruction, a numerical approach is presented in this paper to compute arbitrage-free surfaces which approximate observed market data.

完整

Solving Impulse-Control Problems with Control Delays,s. Moving boundary methods are a class of computational methods that have been developed recently to solve such free boundary problems. The goal of this paper is to provide a detailed description of the methodology. We specifically focus on stochastic impulse-control problems which arise when the co

希望

襲擊

American Option Pricing Using Simulation and Regression: Numerical Convergence Results,nsider such methods and we examine numerically their convergence properties. We first consider the Least Squares Monte-Carlo (LSM) method of (Longstaff and Schwartz, Rev. Financ. Stud., 14:113–147, 2001) and report convergence rates for the cross-sectional regressions as well as for the estimated pr

虛弱的神經(jīng)