Search Results - subject:"pricing algorithms"

Artificial intelligence, algorithmic pricing and collusion

Calvano, Emilio; Calzolari, Giacomo; Denicolò, Vincenzo; … - 2018

Persistent link: https://www.econbiz.de/10012113031

A binomial model for pricing US-style average options with reset features

Costabile, Massimo; Massabo, Ivar; Russo, Emilio - In: International Journal of Financial Markets and Derivatives 1 (2010) 3, pp. 258-273

We develop a pricing algorithm for US-style period-average reset options written on an underlying asset which evolves in a Cox-Ross-Rubinstein (CRR) framework. The averaging feature of such an option on the reset period makes the price valuation problem computationally unfeasible because the...

Persistent link: https://www.econbiz.de/10008755246

Accuracy measures for American put option pricing algorithms

Goldenberg, David H. - In: International Journal of Financial Markets and Derivatives 1 (2009) 1, pp. 5-40

introduce an economically viable metric that identifies all the errors of American put option pricing algorithms. The accuracy …

Persistent link: https://www.econbiz.de/10008755236