An efficient numerical method for American options and their Greeks under the two-asset Kou jump-diffusion model

Autor: Hout, Karel J. in 't

In this paper we consider the numerical solution of the two-dimensional time-dependent partial integro-differential complementarity problem (PIDCP) that holds for the value of American-style options under the two-asset Kou jump-diffusion model. Follo

Externí odkaz: http://arxiv.org/abs/2410.10444

A Race Track Trapped-Ion Quantum Processor

Autor: Moses, S. A., Baldwin, C. H., Allman, M. S., Ancona, R., Ascarrunz, L., Barnes, C., Bartolotta, J., Bjork, B., Blanchard, P., Bohn, M., Bohnet, J. G., Brown, N. C., Burdick, N. Q., Burton, W. C., Campbell, S. L., Campora III, J. P., Carron, C., Chambers, J., Chan, J. W., Chen, Y. H., Chernoguzov, A., Chertkov, E., Colina, J., Curtis, J. P., Daniel, R., DeCross, M., Deen, D., Delaney, C., Dreiling, J. M., Ertsgaard, C. T., Esposito, J., Estey, B., Fabrikant, M., Figgatt, C., Foltz, C., Foss-Feig, M., Francois, D., Gaebler, J. P., Gatterman, T. M., Gilbreth, C. N., Giles, J., Glynn, E., Hall, A., Hankin, A. M., Hansen, A., Hayes, D., Higashi, B., Hoffman, I. M., Horning, B., Hout, J. J., Jacobs, R., Johansen, J., Jones, L., Karcz, J., Klein, T., Lauria, P., Lee, P., Liefer, D., Lytle, C., Lu, S. T., Lucchetti, D., Malm, A., Matheny, M., Mathewson, B., Mayer, K., Miller, D. B., Mills, M., Neyenhuis, B., Nugent, L., Olson, S., Parks, J., Price, G. N., Price, Z., Pugh, M., Ransford, A., Reed, A. P., Roman, C., Rowe, M., Ryan-Anderson, C., Sanders, S., Sedlacek, J., Shevchuk, P., Siegfried, P., Skripka, T., Spaun, B., Sprenkle, R. T., Stutz, R. P., Swallows, M., Tobey, R. I., Tran, A., Tran, T., Vogt, E., Volin, C., Walker, J., Zolot, A. M., Pino, J. M.

Publikováno v: Phys. Rev. X 13, 041052 (2023)

We describe and benchmark a new quantum charge-coupled device (QCCD) trapped-ion quantum computer based on a linear trap with periodic boundary conditions, which resembles a race track. The new system successfully incorporates several technologies cr

Externí odkaz: http://arxiv.org/abs/2305.03828

Operator splitting schemes for American options under the two-asset Merton jump-diffusion model

Autor: Boen, Lynn, Hout, Karel J. in 't

This paper deals with the efficient numerical solution of the two-dimensional partial integro-differential complementarity problem (PIDCP) that holds for the value of American-style options under the two-asset Merton jump-diffusion model. We consider

Externí odkaz: http://arxiv.org/abs/1912.06809

Numerical valuation of Bermudan basket options via partial differential equations

Autor: Hout, Karel J. in 't, Snoeijer, Jacob

We study the principal component analysis (PCA) based approach introduced by Reisinger & Wittum (2007) for the approximation of Bermudan basket option values via partial differential equations (PDEs). This highly efficient approximation approach requ

Externí odkaz: http://arxiv.org/abs/1909.01164

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