A dynamic programming approach for pricing options embedded in bonds

A Dynamic Programming Approach for Pricing CDS and CDS Options

We propose a general setting for pricing single-name knock-out credit derivatives. Examples include Credit Default Swaps (CDS), European and Bermudan CDS options. The default of the underlying reference entity is modeled within a doubly stochastic framework where the default intensity follows a CIR++ process. We estimate the model parameters through a combination of a cross sectional calibratio...

A Dynamic Programming Procedure for Pricing American-Style Asian Options

Hatem Ben-Ameur • Michèle Breton • Pierre L’Ecuyer GERAD and Département des Méthodes Quantitatives de Gestion, École des H.E.C., 3000 Chemin de la Côte Sainte-Catherine, Montréal, Canada H3T 2A7 GERAD and Département des Méthodes Quantitatives de Gestion, École des H.E.C., 3000 Chemin de la Côte Sainte-Catherine, Montréal, Canada H3T 2A7 GERAD and Département d’Informatique et de Recherche Opé...

A dynamic programming approach for solving nonlinear knapsack problems

Nonlinear Knapsack Problems (NKP) are the alternative formulation for the multiple-choice knapsack problems. A powerful approach for solving NKP is dynamic programming which may obtain the global op-timal solution even in the case of discrete solution space for these problems. Despite the power of this solu-tion approach, it computationally performs very slowly when the solution space of the pr...

Computational Study of Pricing American Options Using a New Dynamic Programming Approach

The organization of this project report is as following: Section 2 is a literature review on various approaches of pricing options (mostly American options) with transactions costs; Section 3 describes the dynamic programming model developed by Dr. Edirisinghe as an efficient approach to study the option-pricing problem and discusses several extensions to the basic DP model; In Section 4, compu...

Model-Independent Bounds for Asian Options: A Dynamic Programming Approach