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cond-mat.stat-mech2000
Tradable Schemes
Jiri Hoogland, Dimitri Neumann
In this article we present a new approach to the numerical valuation of derivative securities. The method is based on our previous work where we formulated the theory of pricing in…
cond-mat.stat-mech2000★ 2 cited
Asians and cash dividends: Exploiting symmetries in pricing theory
Jiri Hoogland, Dimitri Neumann
In this article we present new results for the pricing of arithmetic Asian options within a Black-Scholes context. To derive these results we make extensive use of the local scale…