Concept

Asian option

Publications associées (103)

Asian option pricing with orthogonal polynomials

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

Product Market Competition and Option Prices

Erwan Morellec

Most firms face some form of competition in product markets. The degree of competition a firm faces feeds back into its cash flows and affects the values of the securities it issues. Through its effects on stock prices, product market competition affects t ...

OXFORD UNIV PRESS INC2019

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

Find your way around the various flexibility mechanisms under the 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 ...

2019

Navigating various flexibility mechanisms under European burden-sharing

Marc Vielle

2019

Navigating various flexibility mechanisms under European burden-sharing

Marc Vielle

2019

The Jacobi stochastic volatility model

Damir Filipovic, Damien Edouard Ackerer, Sergio Andres Pulido Nino

We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log-returns admits a Gram–Cha ...

2018

Equilibrium Models for Derivatives Markets with Frictions

Yuan Zhang

This thesis develops equilibrium models, and studies the effects of market frictions on risk-sharing, derivatives pricing, and trading patterns. In the chapter titled "Imbalance-Based Option Pricing", I develop an equilibrium model of fragmented options m ...

EPFL2018

Thermo-economic analysis and multi-objective optimisation of lignocellulosic biomass conversion to Fischer-Tropsch fuels

François Maréchal, Guillaume Boissonnet, Emanuela Peduzzi

This paper addresses the techno-economic evaluation and optimisation of processes converting lignocellulosic biomass into liquid fuels, through the development of a suitable framework and the modelling and design of Biomass to Liquids (BTL) processes. In p ...

2018

Renovation of hydraulic power plant: how to select the best technical options?

François Avellan, Christophe Nicolet, Christian Landry, Loïc Andolfatto, Joao Gomes Pereira Junior

With the Energy Strategy 2050, Switzerland wishes to focus on balanced utilization of hydropower potentials and new renewable energy sources to cope with nuclear energy phasing out. Integration of large amounts of new renewable energies such as wind and so ...

2018

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