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Valuing American options using fast recursive projections
Cosma, Antonio; Galluccio, Stefano; Scaillet, Olivier - 2012
This paper introduces a new numerical option pricing method by fast recursive projections. The projection step consists in representing the payoff and the state price density with a fast discrete transform based on a simple grid sampling. The recursive step consists in transmitting coefficients...
Persistent link: https://www.econbiz.de/10009558308
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Valuing American options using fast recursive projections
Cosma, Antonio; Galluccio, Stefano; Scaillet, Olivier - 2012
This paper introduces a new numerical option pricing method by fast recursive projections. The projection step consists in representing the payoff and the state price density with a fast discrete transform based on a simple grid sampling. The recursive step consists in transmitting coefficients...
Persistent link: https://www.econbiz.de/10009563383
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Microsimulation of complex system dynamics : automata models in biology and finance
Castiglione, Filippo - 2001
Persistent link: https://www.econbiz.de/10001607610
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Modelling photovoltaic modules by a numerical method and artificial neural networks
Meziani, Zahra; Dibi, Zohir - In: African journal of science, technology, innovation & … 8 (2016) 3/4, pp. 331-339
Persistent link: https://www.econbiz.de/10011723628
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Queuing, social interactions, and the microstructure of financial markets
Horst, Ulrich; Rothe, Christian - In: Macroeconomic dynamics 12 (2008) 2, pp. 211-233
Persistent link: https://www.econbiz.de/10003686100
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Necessity of future information in admission control
Xu, Kuang - In: Operations research 63 (2015) 5, pp. 1213-1226
Persistent link: https://www.econbiz.de/10011397828
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On the estimation of the true demand in call centers with redials and reconnects
Ding, Sihan; Koole, Ger M.; Mei, R. D. van der - In: European journal of operational research : EJOR 246 (2015) 1, pp. 250-262
Persistent link: https://www.econbiz.de/10011341649
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Predicting departure times in multi-stage queueing systems
Gue, Kevin R.; Kim, Hyun Ho - In: Computers & operations research : and their … 39 (2012) 7, pp. 1734-1744
Persistent link: https://www.econbiz.de/10009408320
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Forecasting time-varying arrivals : impact of direct response advertising on call center performance
Kiygi-Calli, Meltem; Weverbergh, Marcel; Franses, … - In: Journal of business research : JBR 131 (2021), pp. 227-240
Persistent link: https://www.econbiz.de/10012544961
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Predicting the performance of queues : a data analytic approach
Yang, Kum-khiong; Cayirli, Tugba; Low, Joyce M. W. - In: Computers & operations research : and their … 76 (2016), pp. 33-42
Persistent link: https://www.econbiz.de/10011582084