Now showing items 1-2 of 2

    • An Object-Oriented Framework For Valuing Shout Options on High-Performance Computer Architectures 

      Windcliff, H.; Vetzal, K. R.; Forsyth, P. A.; Verma, A.; Coleman, T. F. (Cornell University, 2003-01-23)
      A shout option is a financial contract which allows the holder to change the payoff during the lifetime of the contract. For example, the holder could have the right to set the strike price to the current value of the ...
    • The Valuation of Convertible Bonds With Credit Risk 

      Ayache, E.; Forsyth, P. A.; Vetzal, K. R. (Cornell University, 2003-01-23)
      Convertible bonds are typically issued by firms which have both relatively high growth and quite high risk. Convertibles can be difficult to value, given their hybrid nature of containing elements of both debt and equity. ...