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On the Confidence Interval of Black-Scholes Model
On the Confidence Interval of Black-Scholes Model This is the abstract of a paper that derives expressions for the moments of the distribution of the option payoff in a Black Scholes economy.- Authors: Phelim Boyle, Hailiang Yang
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Option Bounds in Discrete Time with Transaction Costs
Option Bounds in Discrete Time with Transaction Costs Option bounds are obtained in a discrete-time framework with transaction costs. The model represents an extension of the Cox-Ross-Rubinstein ...- Authors: Phelim Boyle, Ton Vorst
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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Quasi-Monte Carlo Methods in Numerical Finance
Quasi-Monte Carlo Methods in Numerical Finance This paper introduces and illustrates a new version of the Monte Carlo method that has attractive properties for the numerical valuation of ...- Authors: Phelim Boyle, Ken Seng Tan, Corwin Joy
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Simulation