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Data & statistics on comparison of performance for jump-di ffusion computation for bermudan and american options – 8 results

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Comparison of performance for jump-diffusion computation (Kou’s model) of the CONV method with PIDE solver [5] for Bermudan and American options.

Comparison of performance for jump-diffusion computation (Kou’s model) of the CONV method with PIDE solver [5] for Bermudan and American options.

myweb.tiscali.co.uk/rogerlord/conv.pdf

−6 −6 −8 −8 −10 −10 −4 −3 −2 −1 −4 −3 −2 −1 log10CPU time (sec) log10CPU time (sec) (a) Bermudan put (b) American put Fig. 4. Comparison of performance for jump-diffusion computation (Kou’s model) of the CONV method with PIDE solver [5] for Bermudan and American options. ...
a lower accuracy for small values of N . For the Bermudan option the CONV method is still competitive, yet for the American option the PIDE scheme is the clear ...
a higher accuracy than the CONV method for small computational budgets

Oct 2007 | myweb.tiscali.co.uk
Original Url: http://myweb.tiscali.co.uk/rogerlord/conv.pdf
An American option with the PIDE: S-domain = [0, 20] and v-domain = [0, 1]

An American option with the PIDE: S-domain = [0, 20] and v-domain = [0, 1]

ta.twi.tudelft.nl/users/vuik/numanal/bervoets_afst.pdf

extrapolation with f f k = 4 in equation (2.4.11). In other words, the American option is approximated by M , 2M , f and 8M exercisable Bermudan options. f N J M Value 4M Error 7.41E-03 1.92E-03 3.89E-04 3.94E-05 1.36E-05 CPU (sec.) Table 5.4.2: An American option ...
that under this model the Fourier transform method does not perform best. However, the implementations are done in di¤erent programming languages. The Fourier transform method ...
of both languages by implementing a program computing the trapezoidal rule in both

Sep 2006 | DIAM index
Original Url: http://ta.twi.tudelft.nl/users/vuik/numanal/bervoets_afst.pdf
Option Investor: Daily Newsletter, Tuesday, 02/22/2000

Option Investor: Daily Newsletter, Tuesday, 02/22/2000

www.optioninvestor.com/page/oin/commentary/newsletter/2000/02-22.html

for over years QLGC s I O products provide a high performance interface between computer ...
Option Investor: Daily Newsletter, Tuesday, 02/22/2000 ...
The Option Investor Newsletter Tuesday Copyright All rights reserved

Option Investor
Parameter estimates from non-linear least squares regressions on wheat futures call option prices. Estimations are made separately on weekly observations of all contracts in the period 1989-1999 using a toal of 18 831 observations. Five models are estimated: Black76, Schwartz97, Bates91, Fackler99 and New. Three terms are used in the seasonal volatility speci¯cation of two latter models. The four former ...

Parameter estimates from non-linear least squares regressions on wheat futures call option prices. Estimations are made separately on weekly observations of all contracts in the period 1989-1999 using ...

old.nhh.no/for/dp/2001/1901.pdf

of Schwartz97 and Fackler99 and the jump-di®usion model of Bates91. This last observation is in accordance with the conclusion in Hilliard and Reis (1999) - Bates91 performs better ...
The F -statistic is computed as F [G; N ¡ L] = (SSERU =(N¡L) where SSEU and SSER are sum ...
europe, united states

Jan 1999 | NHH - Norges Handelshøyskole
Original Url: http://old.nhh.no/for/dp/2001/1901.pdf
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Jan 2007
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www.cas.zju.edu.cn/dkyweb/admin/uploadimage/newsFile3134968371168744113.xls

成果名称, 英文期刊名称, Structure and performance of PEG-acrylate immobilized porous poly ...
Computing the delay margin of AGC system with commensurate communication delay, Al ...
scheduling in a computational grid, Soft analyzer modeling for dearomatization unit using

Jan 2007 | ????????????????????
Original Url: http://www.cas.zju.edu.cn/dkyweb/admin/uploadimage/newsFile3134968371168744113.xls
Base case parameters

Base case parameters

www.efmaefm.org/efma2006/papers/798685_full.pdf

associated with the poorer performance of the QMC methods in high dimensional problems. The value obtained by the LSM method converges to the true value of an American option ...
of these parameters, we have chosen to value Bermudan options, which can be exercised 10 times ...
i = 1, ..., m; m = 2, ..., M Di γ m (1) (m) K1 Investment cost of the module i when the system is splitted

EFMA
Original Url: http://www.efmaefm.org/efma2006/papers/798685_full.pdf
Items with Status of Missing (non-cumulative) - July, 2008 (This report was run on July 15, 2008, for items with a missing date in June, 2008.)
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Items with Status of Missing (non-cumulative) - July, 2008 (This report was run on July 15, 2008, for items with a missing date in June, 2008.)

Jul 2008
eiNetwork: Connecting Knowledge in Southwestern Pennsylvania

Items with Status of Missing (non-cumulative) - July, 2008 (This report was run on July 15, 2008, for items with a missing date in June, 2008.)

www.einetwork.net/member/ils/2008/Jul08MissingRecent.xls

j Fic DiTerl, j Fic DiTerl, j Fic Korman, j 595.769 A427, E ARNOLD, E CARLE, E GROSSM ...
39 A, j STEP-UP WIL, MAP 914.6 F EUROPE, MAP 917.7311 M U.S.A. CENTRAL, 005.54 R, 636 ...
& Anne Baring., Root Shock : how tearing up city neighborhoods hurts America

Jul 2008 | eiNetwork: Connecting Knowledge in Southwestern Pennsylvania
Original Url: http://www.einetwork.net/member/ils/2008/Jul08MissingRecent.xls
Bottomline Fiscal cliff weighs on Wall St;

Bottomline Fiscal cliff weighs on Wall St;

www.arabtimesonline.com/Portals/0/PDF_Files/pdf12/dec/05/46.pdf

Commerzbank stock jumped 1.46 percent and Deutsche Bank shares US Stocks were edging lower ...
at this stage of the year if they have performance to protect.” British American Tobacco ...
’s currency into US dollars with a maximum value of $15 billion through their central

2020 (projection) | Arab Times Kuwait English Daily
Original Url: http://www.arabtimesonline.com/Portals/0/PDF_Files/pdf12/dec/05/46.pdf
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