Matches in SemOpenAlex for { <https://semopenalex.org/work/W2030637350> ?p ?o ?g. }
Showing items 1 to 92 of
92
with 100 items per page.
- W2030637350 abstract "We consider sequential auctions wherein seller and bidder agents need to price goods on sale at the 'right' market price. We propose algorithms based on a binomial model for both the seller and buyer. Then, we consider the problem of calibrating pricing models to market data. To this end, we studied a stochastic volatility model used for option pricing, derived, and analyzed Monte Carlo estimators for computing the gradient of a certain payoff function using Finite Differencing and Algorithmic Differentiation. We then assessed the accuracy and efficiency of both methods as well as their impacts into the optimization algorithm. Numerical results are presented and discussed. This work can benefit those engaged in electronic trading or investors in financial products with the need for fast and more precise predictions of future market data." @default.
- W2030637350 created "2016-06-24" @default.
- W2030637350 creator A5056849110 @default.
- W2030637350 date "2012-05-17" @default.
- W2030637350 modified "2023-09-27" @default.
- W2030637350 title "MODELING AND SIMULATION OF SEQUENTIAL AUCTIONS: PRICING AND CALIBRATION ALGORITHMS" @default.
- W2030637350 cites W2017957151 @default.
- W2030637350 cites W2024636238 @default.
- W2030637350 cites W2033200020 @default.
- W2030637350 cites W2034086678 @default.
- W2030637350 cites W2040837884 @default.
- W2030637350 cites W2064978316 @default.
- W2030637350 cites W2073227755 @default.
- W2030637350 cites W2076057077 @default.
- W2030637350 cites W2084689793 @default.
- W2030637350 cites W2130345504 @default.
- W2030637350 cites W2493330908 @default.
- W2030637350 cites W2951936220 @default.
- W2030637350 cites W4206483639 @default.
- W2030637350 cites W4293510232 @default.
- W2030637350 doi "https://doi.org/10.1142/s1793962312500092" @default.
- W2030637350 hasPublicationYear "2012" @default.
- W2030637350 type Work @default.
- W2030637350 sameAs 2030637350 @default.
- W2030637350 citedByCount "2" @default.
- W2030637350 countsByYear W20306373502012 @default.
- W2030637350 countsByYear W20306373502016 @default.
- W2030637350 crossrefType "journal-article" @default.
- W2030637350 hasAuthorship W2030637350A5056849110 @default.
- W2030637350 hasConcept C10138342 @default.
- W2030637350 hasConcept C105795698 @default.
- W2030637350 hasConcept C126255220 @default.
- W2030637350 hasConcept C144237770 @default.
- W2030637350 hasConcept C146880194 @default.
- W2030637350 hasConcept C149782125 @default.
- W2030637350 hasConcept C162324750 @default.
- W2030637350 hasConcept C163239763 @default.
- W2030637350 hasConcept C165838908 @default.
- W2030637350 hasConcept C175444787 @default.
- W2030637350 hasConcept C185429906 @default.
- W2030637350 hasConcept C194291561 @default.
- W2030637350 hasConcept C194483076 @default.
- W2030637350 hasConcept C19499675 @default.
- W2030637350 hasConcept C22171661 @default.
- W2030637350 hasConcept C33923547 @default.
- W2030637350 hasConcept C41008148 @default.
- W2030637350 hasConcept C91602232 @default.
- W2030637350 hasConceptScore W2030637350C10138342 @default.
- W2030637350 hasConceptScore W2030637350C105795698 @default.
- W2030637350 hasConceptScore W2030637350C126255220 @default.
- W2030637350 hasConceptScore W2030637350C144237770 @default.
- W2030637350 hasConceptScore W2030637350C146880194 @default.
- W2030637350 hasConceptScore W2030637350C149782125 @default.
- W2030637350 hasConceptScore W2030637350C162324750 @default.
- W2030637350 hasConceptScore W2030637350C163239763 @default.
- W2030637350 hasConceptScore W2030637350C165838908 @default.
- W2030637350 hasConceptScore W2030637350C175444787 @default.
- W2030637350 hasConceptScore W2030637350C185429906 @default.
- W2030637350 hasConceptScore W2030637350C194291561 @default.
- W2030637350 hasConceptScore W2030637350C194483076 @default.
- W2030637350 hasConceptScore W2030637350C19499675 @default.
- W2030637350 hasConceptScore W2030637350C22171661 @default.
- W2030637350 hasConceptScore W2030637350C33923547 @default.
- W2030637350 hasConceptScore W2030637350C41008148 @default.
- W2030637350 hasConceptScore W2030637350C91602232 @default.
- W2030637350 hasLocation W20306373501 @default.
- W2030637350 hasOpenAccess W2030637350 @default.
- W2030637350 hasPrimaryLocation W20306373501 @default.
- W2030637350 hasRelatedWork W107288817 @default.
- W2030637350 hasRelatedWork W1602225557 @default.
- W2030637350 hasRelatedWork W1838545088 @default.
- W2030637350 hasRelatedWork W1969459650 @default.
- W2030637350 hasRelatedWork W2102197848 @default.
- W2030637350 hasRelatedWork W2134867989 @default.
- W2030637350 hasRelatedWork W2137992904 @default.
- W2030637350 hasRelatedWork W2138480659 @default.
- W2030637350 hasRelatedWork W2169468368 @default.
- W2030637350 hasRelatedWork W2257398339 @default.
- W2030637350 hasRelatedWork W2396224275 @default.
- W2030637350 hasRelatedWork W2514723904 @default.
- W2030637350 hasRelatedWork W2531278276 @default.
- W2030637350 hasRelatedWork W2605914854 @default.
- W2030637350 hasRelatedWork W2735591862 @default.
- W2030637350 hasRelatedWork W3014330595 @default.
- W2030637350 hasRelatedWork W3037519245 @default.
- W2030637350 hasRelatedWork W3121405566 @default.
- W2030637350 hasRelatedWork W3127662496 @default.
- W2030637350 hasRelatedWork W3152072014 @default.
- W2030637350 isParatext "false" @default.
- W2030637350 isRetracted "false" @default.
- W2030637350 magId "2030637350" @default.
- W2030637350 workType "article" @default.