Scientific Research An Academic Publisher
OPEN ACCESS
Add your e-mail address to receive free newsletters from SCIRP.
Select Journal AA AAD AAR AASoci AAST ABB ABC ABCR ACES ACS ACT AD ADR AE AER AHS AID AiM AIT AJAC AJC AJCC AJCM AJIBM AJMB AJOR AJPS ALAMT ALC ALS AM AMI AMPC ANP APD APE APM ARS ARSci AS ASM BLR CC CE CellBio ChnStd CM CMB CN CRCM CS CSTA CUS CWEEE Detection EMAE ENG EPE ETSN FMAR FNS GEP GIS GM Graphene GSC Health IB ICA IIM IJAA IJAMSC IJCCE IJCM IJCNS IJG IJIDS IJIS IJMNTA IJMPCERO IJNM IJOC IJOHNS InfraMatics JACEN JAMP JASMI JBBS JBCPR JBiSE JBM JBNB JBPC JCC JCDSA JCPT JCT JDAIP JDM JEAS JECTC JEMAA JEP JFCMV JFRM JGIS JHEPGC JHRSS JIBTVA JILSA JIS JMF JMGBND JMMCE JMP JPEE JQIS JSBS JSEA JSEMAT JSIP JSS JSSM JST JTR JTST JTTs JWARP LCE MC ME MI MME MNSMS MPS MR MRC MRI MSA MSCE NJGC NM NR NS OALib OALibJ ODEM OJA OJAB OJAcct OJAnes OJAP OJApo OJAppS OJAPr OJAS OJBD OJBIPHY OJBM OJC OJCB OJCD OJCE OJCM OJD OJDer OJDM OJE OJEE OJEM OJEMD OJEpi OJER OJF OJFD OJG OJGas OJGen OJI OJIC OJIM OJINM OJL OJM OJMC OJMetal OJMH OJMI OJMIP OJML OJMM OJMN OJMP OJMS OJMSi OJN OJNeph OJO OJOG OJOGas OJOp OJOph OJOPM OJOTS OJPathology OJPC OJPChem OJPed OJPM OJPP OJPS OJPsych OJRA OJRad OJRD OJRM OJS OJSS OJSST OJST OJSTA OJTR OJTS OJU OJVM OPJ POS PP PST PSYCH SAR SCD SGRE SM SN SNL Soft SS TEL TI UOAJ VP WET WJA WJCD WJCMP WJCS WJET WJM WJNS WJNSE WJNST WJV WSN YM
More>>
P. Carr, H. Geman, D. B. Madan and M. Yor, “The Fine Structure of Asset Returns: An Empirical Investigation,” Journal of Business, Vol. 75, No. 2, 2002, pp. 305-332. doi:10.1086/338705
has been cited by the following article:
TITLE: An Accurate FFT-Based Algorithm for Bermudan Barrier Option Pricing
AUTHORS: Deng Ding, Zuoqiu Weng, Jingya Zhao
KEYWORDS: Fast Fourier Transform (FFT); Bermudan Barrier Option; CONV Method.
JOURNAL NAME: Intelligent Information Management, Vol.4 No.3, May 25, 2012
ABSTRACT: An efficient and accurate numerical method, which is called the CONV method, was proposed by Lord et al in [1] to price Bermudan options. In this paper, this method is applied to price Bermudan barrier options in which the monitored dates may be many times more than the exercise dates. The corresponding algorithm is presented to practical option pricing. Numerical experiments show that this algorithm works very well for different exponential Lévy asset models.
Related Articles:
Erratum to “The Faraday Isolator, Detailed Balance and the Second Law” [Journal of Applied Mathematics and Physics, Vol. 5, No. 4, April 2017 PP. 889-899]
George S. Levy
DOI: 10.4236/jamp.2017.58127 1,446 Downloads 2,788 Views Citations
Pub. Date: August 25, 2017
Negation in Sixteen Yorùbá Dialects
Felix Abídèmí Fábùnmi
DOI: 10.4236/ojml.2013.31001 7,571 Downloads 13,871 Views Citations
Pub. Date: March 29, 2013
Empirical Relation of the Fine-Structure Constant with the Transference Number Concept
Tomofumi Miyashita
DOI: 10.4236/jmp.2018.913149 386 Downloads 578 Views Citations
Pub. Date: November 27, 2018
An Evaluation of the Akure Yorùbá Traditional Belief in Reincarnation
Ọládotun B. Ọsanyìnbí, Kehinde Falana
DOI: 10.4236/ojpp.2016.61007 8,493 Downloads 9,760 Views Citations
Pub. Date: February 22, 2016
The Structure Functions in the Weak and Semileptonic Decay of Meson B to the Mesons D and D*: A Computational Study
Alireza Heidari, Mohammadali Ghorbani
DOI: 10.4236/jmp.2012.32028 4,934 Downloads 8,904 Views Citations
Pub. Date: February 29, 2012
