An object-oriented framework for valuing shout options on high-performance computer architectures

DOI10.1016/S0165-1889(02)00058-1zbMath1178.91205OpenAlexW1998136474MaRDI QIDQ951351

H. Windcliff, Kenneth Vetzal, Peter A. I. Forsyth, Thomas F. Coleman, Arun Kumar Verma

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(02)00058-1

zbMATH Keywords

option pricingshout optionsobject-orientedhigh-performance architecture

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Other programming paradigms (object-oriented, sequential, concurrent, automatic, etc.) (68N19) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

A penalty method for American options with jump diffusion processes ⋮ Valuation of segregated funds: shout options with maturity extensions. ⋮ Shout options: A framework for pricing contracts which can be modified by the investor

Cites Work

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• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
• Shout options: A framework for pricing contracts which can be modified by the investor

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