Asian option

Sciences sociales
Économie (discipline)
Microéconomie
Financial economics

Publications associées (29)

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Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing

Daniel Kressner, Francesco Statti, Kathrin Beatrice Glau

Treating high dimensionality is one of the main challenges in the development of computational methods for solving problems arising in finance, where tasks such as pricing, calibration, and risk assessment need to be performed accurately and in real-time. ...

2020

Magnetic Design of a Superconducting Toroidal Gantry for Hadron Therapy

Luca Bottura, Enrico Felcini, Bertrand Dutoit, Bertrand Dutoit

Hadron and proton therapy are cutting edge techniques for cancer treatment and a great development of specialized medical centers and research facilities is foreseen in the next decades. One of the main obstacles to the penetration of the use of charged pa ...

IEEE Institute of Electrical and Electronics Engineers2020

Navigating various flexibility mechanisms under European burden-sharing

Marc Vielle

In July 2016, the European Commission presented its proposal for a regulation to reduce greenhouse gases emissions in sectors not covered by the emissions trading system with regard to post-2020 binding targets. The proposal extends the burden-sharing fram ...

SPRINGER2020

Future Urban Charging Solutions for Electric Vehicles

Vincent Kaufmann, Guillaume Simon Joseph Drevon, Vincent Moreau, François Richard Vuille, Dominic Villeneuve

The numbers of electric vehicles (EV) will increase as many countries perceive EVs as a solution to reduce the emissions of transportation and therefore incentivize their adoption. However, the deployment of public charging infrastructure is lagging behind ...

2020

Optimal integration of sustainable multi-energy systems in districts

François Maréchal, Paul Michael Stadler

The integration of renewable energy sources within the built environment is a compelling challenge to tackle. With the recent climate targets aiming at a carbon neutral energy supply by the mid-century, a modern building energy system (BES) should maximize ...

ECOS 2020 Organizing Committee2020

Multimodal pipe-climbing robot with origami clutches and soft modular legs

Jamie Paik, Frédéric Henri Vaskin Giraud, Hongying Zhang, Yongkang Jiang

In nature, climbing trees and pipes of varying diameters or even navigating inside of hollow pipes and tree holes is easy for some climbing animals and insects. However, today's pipe-climbing robots, which are important for automatically conducting periodi ...

2020

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

Kathrin Beatrice Glau

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 ...

2019

Option pricing with orthogonal polynomial expansions

Damir Filipovic, Damien Edouard Ackerer

We derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, Stein-Stein, and Hull-White models, for which we provide numerical case studies. We find that our polynomial ...

2020

Numerical methods for option pricing: polynomial approximation and high dimensionality

Francesco Statti

Options are some of the most traded financial instruments and computing their price is a central task in financial mathematics and in practice. Consequently, the development of numerical algorithms for pricing options is an active field of research. In gen ...

EPFL2019

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