Recently stochastic methods have become very important tool for high performance computing of very high dimensional problems in computational finance.
An Optimized Stochastic Techniques related to Option Pricing ; Assume that the expression in front of h−6is of order 1 [4]. ; Here h= 0.1, and we have N≈106; so, ...
An Optimized Stochastic Techniques related to Option Pricing. Venelin Todorov, Ivan Dimov, Stefka Fidanova, Stoyan Apostolov. DOI: http://dx.doi.org/10.15439 ...
An introduction to the theory of the stochastic optimal generating vectors has been given. A new optimized lattice sequence with a special choice of the optimal ...
TL;DR: In this paper, the advantages and disadvantages of different highly efficient stochastic methods for multidimensional integrals related to evaluation of ...
Aug 31, 2024 · An analytic method based on the stochastic optimization is developed that gives the general formalism for determi-ning the option price and the ...
Abstract: The problem of determining the European-style option price in the incomplete markets has been examined within the framework of stochastic ...
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Oct 13, 2024 · Options traders use stochastic optimization to develop dynamic hedging strategies that minimize risk exposure. These strategies often involve ...
The problem of determining the European-style option price in incomplete markets is examined within the framework of stochastic optimization.
6 Citations · Distribution-based option pricing on lattice asset dynamics models · Stochastic Optimization approaches for trading on financial and energy markets.