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Home / Applied Mathematical Finance, Volume 5, Number 2

Publisher: Routledge, part of the Taylor & Francis Group

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Volume 5, Number 2, 1 June 1998

Good point methods for computing prices and sensitivities of multi-asset European style options
pp. 83-106(24)
Author: Ross, Raymond

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Optimal exercise boundary for an American put option
pp. 107-116(10)
Authors: Kuske, Rachel A.; Keller, Joseph B.

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A theoretical investigation of randomized asset allocation strategies
pp. 117-130(14)
Authors: Milevsky, Moshe Arye; Posner, Steven E.

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Coupling backward induction with Monte Carlo simulations: a fast Fourier transform (FFT) approach
pp. 131-141(11)
Authors: Rebonato, Riccardo; Cooper, Ian

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