We develop a numerical method for pricing multidimensional vanilla options in the Black-Scholes framework. In low dimensions, we improve an adaptive integration algorithm proposed by two of the authors by introducing a new splitting strategy based on a geometrical criterion. In higher dimensions, this new algorithm is used as a control variate after a dimension reduction based on principal comp...

The conventional control variate method proposed by Kemna and Vorst (1990) to evaluate Asian options under the Black-Scholes model can be interpreted as a particular selection of linear martingale controls. We generalize the constant control parameter into a control process to gain more reduction on variance. By means of an option price approximation, we construct a martingale control variate m...

Diabetes mellitus is one of the most common medical complications of pregnancy; gestational diabetes mellitus (GDM) accounts for approximately 90% to 95% of all cases. GDM is defined as carbohydrate intolerance of variable severity with onset or first recognition during pregnancy. The definition is applicable regardless of whether insulin is used to treat the disease or if the condition persist...

Past information systems research on real options has focused mainly on evaluating information technology (IT) investments that embed a single, a-priori known option. However, since real options are not inherent in any IT investment, they usually must be planned and intentionally embedded in a target IT investment in order to control various investment-specific risks, just like financial risk m...

Management of type 2 diabetes mellitus (T2DM) can be challenging. Patients frequently present with poor glycemic control despite therapy. Other patients may be nonadherent or resistant to continuing their treatment when confronted with undesirable adverse effects, such as weight gain, that are associated with many conventional therapies. Incretin-based therapies developed to treat patients with...

We explore a class of control variates for the American option pricing problem. We construct the control variates by using multivariate adaptive linear regression splines to approximate the option’s value function at each time step; the resulting approximate value functions are then combined to construct a martingale that approximates a “perfect” control variate. We demonstrate that significant...

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In June 2007, Toronto, ON, Canada was the site of the Options for the Control of Influenza VI Conference, an international scientific forum exclusively devoted to influenza. Since its inception in 1985, the Options series of meetings, held every 3–4 years, have continued to grow in scope and size. The Options VI Conference was the largest in the series to date, with 1600 delegates from over 66 ...