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An algorithm for computing options on the maximum or minimum of several assets by Phelim P. Boyle

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Published by College of Commerce and Business Administration, University of Illinois Urbana-Champaign in [Urbana, Ill] .
Written in English

Book details:

Edition Notes

Includes bibliographical references (p. 17).

StatementPhelim P. Boyle, Y. K. Tse
SeriesBEBR faculty working paper -- no. 1535, BEBR faculty working paper -- no. 1535.
ContributionsTse, Y. K., University of Illinois at Urbana-Champaign. College of Commerce and Business Administration
The Physical Object
Pagination17, [3] p. ;
Number of Pages17
ID Numbers
Open LibraryOL25126091M

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Downloadable! An approximate method is developed for computing the values of European options on the maximum or the minimum of several assets. The method is very fast and is accurate for parameter ranges that are often of the most interest. The approach casts the problem in terms of order statistics and can be used to handle situations where the initial asset prices, the asset variances, and. rithm, giving the minimum-norm solution of (1), has been proposed in [7], [8]. The algorithm has no restrictions on the operator A (such as the existence of an inverse of A, a condition which is often required for the Tikhonov method; see e.g. [12, p. 45] or [3, p. ]). Furthermore, the algorithm studied in this article uses a technique. Computing Maximum Non-crossing Matching in Convex Bipartite Graphs. Frontiers in Algorithmics and Algorithmic Aspects in Information and Management, () A Combinatorial Algorithm for Minimum Weighted Colorings of Claw-Free Perfect Graphs. On the Complexity of Several Haplotyping Problems. Algorithms in Bioinformatics Cited by: A cycle basis where the sum of weights of the cycles is minimum is called a minimum cycle basis of G. This paper presents an O˜(m4n) algorithm, which is the first polynomial time algorithm for computing a minimum cycle basis in G. We then improve it to an O˜(m4) algorithm.

  An efficient algorithm for the minimum capacity cut problem. Abstract. Given a finite undirected graph with nonnegative edge capacities the minimum capacity cut problem consists of partitioning the graph into two nonempty sets such that the sum of the capacities of edges connecting the two parts is minimum among all possible by: proposed ILP algorithm against state of the art ILP solvers [2]. The paper is organized as follows. A few brief definitions are provided in Section 2. The ILP model and algorithm for computing minimum-size prime implicants are described in Section 3. Section 4 is dedicated to the implicit BDD-based approach. Our parallel algorithms for the vertex problem make use of parallel solutions to the following multiple search problem. Multiple Search Input: Problem Two vectors r = [r^ r ], s = [Sj, s ], where the r ' s and s.'s are real numbers k satisfying ^ ^. algorithms gives the best known running time for some range of parameters (and the running times have to be multiplied by the factor log(nW)or log(Sa ⋅bS)to obtain an algorithm for the minimum ratio problem): • O(mn)time using a variant of the Bellman-Ford algorithm [For56, Bel58, Moo59], • n3~2Ω(»File Size: KB.

  A parallel algorithm is presented for computing the convex hull of a set ofn points in the plane. The algorithm usesn 1−ε processors, 0, and runs inO(n ε logh) time, whereh is the number of edges on the convex hull, for a total cost ofO (n logh). This performance matches that of the best currently known sequential convex hull by: Super-Scalable Algorithms for Computing on , Processors Conference Paper (PDF Available) in Lecture Notes in Computer Science (1) . Additional Note: In Question 2 we want to compute only the maximum without providing any other information. One can note that, say, the entire distribution of salaries could be computed and communicated to the group by computing moments of the sequence via the method above. This would give the maximum (however a lot of other information as well). "Valuing Risky Projects: Option Pricing Theory and Decision Analysis," Management Science, INFORMS, vol. 41(5), pages , May. Johnson, Herb, "Options on the Maximum or the Minimum of Several Assets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(3), pages , by: 4.