An exact subexponential-time lattice algorithm for Asian options
SODA '04 Proceedings of the fifteenth annual ACM-SIAM symposium on Discrete algorithms
Application of high-precision computing for pricing arithmetic asian options
Proceedings of the 2006 international symposium on Symbolic and algebraic computation
A mathematical analysis of real options interactions
MCBE'07 Proceedings of the 8th Conference on 8th WSEAS Int. Conference on Mathematics and Computers in Business and Economics - Volume 8
Parametrix Approximation of Diffusion Transition Densities
SIAM Journal on Financial Mathematics
Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
Operations Research
Approximations for Asian options in local volatility models
Journal of Computational and Applied Mathematics
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From the Publisher:The idea behind this work is to use MathematicaRG to test financial models. Mathematica's graphical and animation capabilities are exploited to show how a model's characteristics can be visualised in 2 and 3 dimensions. An accompanying CD that runs on most Windows, Unix and Macintosh platforms has the machine readable versions of the models; most features require Mathematica 3, though some only need version 2.2.This product will prove of inestimable worth in financial analysis; it can be used for professional or training purposes in financial institutions or universities, and on MBA courses.