Publications related to Option style

A New Approach For American Option Pricing: The Dynamic Chebyshev Method

We introduce a new method to price American options based on Chebyshev interpolation. In each step of a dynamic programming time-stepping we approximate the value function with Chebyshev polynomials. The key advantage of this approach is that it allows us ...

SIAM PUBLICATIONS2019

The Advent of the Sharing Culture and its Effect on Product Pricing

Thomas Alois Weber, Maryam Razeghian Jahromi

Empirical observations suggest that consumers' propensity towards sharing varies with culture and the individuals' socio-demographic characteristics. In an economy with overlapping generations of heterogeneous consumers, we study optimal dynamic selling by ...

2019

Asian option pricing with orthogonal polynomials

Sander Félix M Willems

In this paper we derive a series expansion for the price of a continuously sampled arithmetic Asian option in the Black-Scholes setting. The expansion is based on polynomials that are orthogonal with respect to the log-normal distribution. All terms in the ...

ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD2019

Linear credit risk models

Damir Filipovic, Damien Edouard Ackerer

We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors. The price of a CDS ...

2019

Upstream Erosion and Sediment Passage at Piano Key Weirs

Anton Schleiss, Michael Pfister, Ivan Stojnic

Piano key weirs (PKWs) are a weir type characterized by an effective rating curve. Accordingly, this control structure is primarily applied at dams to increase the spillway capacity. In recent years, PKWs also have been implemented in rivers combined with ...

2019

Engineering and integration risks arising from advanced magnetic divertor configurations

Holger Reimerdes, Seungkyu Ha

The divertor configuration defines the power exhaust capabilities of DEMO as one of the major key design parameters and sets a number of requirements on the tokamak layout, including port sizes, poloidal field coil positions, and size of toroidal field coi ...

ELSEVIER SCIENCE SA2019

Wind Energy Prediction in Highly Complex Terrain by Computational Fluid Dynamics

Fernando Porté Agel, Jiannong Fang, Daniel Jacob Tabas

With rising levels of wind power penetration in global electricity production, the relevance of wind power prediction is growing. More accurate forecasts reduce the required total amount of energy reserve capacity needed to ensure grid reliability and the ...

2019

Courtesy As a Means to Coordinate

Boi Faltings, Panayiotis Danassis

We investigate the problem of multi-agent coordination under rationality constraints. Specifically, role allocation, task assignment, resource allocation, etc. Inspired by human behavior, we propose a framework (CA^3NONY) that enables fast convergence to e ...

International Foundation for Autonomous Agents and Multiagent Systems2019

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Option style

A New Approach For American Option Pricing: The Dynamic Chebyshev Method

Pricing interest rate, dividend, and equity risk

The Advent of the Sharing Culture and its Effect on Product Pricing

Product Market Competition and Option Prices

Asian option pricing with orthogonal polynomials

Linear credit risk models

Upstream Erosion and Sediment Passage at Piano Key Weirs

Engineering and integration risks arising from advanced magnetic divertor configurations

Wind Energy Prediction in Highly Complex Terrain by Computational Fluid Dynamics

Courtesy As a Means to Coordinate

Graph Chatbot

Chat with Graph Search

Pricing interest rate, dividend, and equity risk

Product Market Competition and Option Prices

Courtesy As a Means to Coordinate

A New Approach For American Option Pricing: The Dynamic Chebyshev Method

Linear credit risk models

The Advent of the Sharing Culture and its Effect on Product Pricing

Upstream Erosion and Sediment Passage at Piano Key Weirs

Engineering and integration risks arising from advanced magnetic divertor configurations

Asian option pricing with orthogonal polynomials

Wind Energy Prediction in Highly Complex Terrain by Computational Fluid Dynamics