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We present an asymptotic fully-polynomial approximation scheme for pricing Asian options on the lattice. For an option with strike price X on an n-step binomial tree, we give a O(kn 2) time algorithm with one-sided error of nX/k, for any positive integer k. Our technique works for both European Asian and American Asian options and is powerful enough to… (More)

Hyper Text Transfer Protocol (HTTP) traac dominates Internet traac. The exchange of HTTP messages is implemented using the connection-oriented TCP. HTTP/1.0 establishes a new TCP connection for each HTTP request, resulting in many consecutive short-lived TCP connections. The emerging HTTP/1.1 reduces laten-cies and overhead from closing and re-establishing… (More)

Generalized network flow problems generalize normal network flow problems by specifying a flow multi-plier (a) for each arc a. For every unit of flow entering the arc, (a) units of flow exit. Flow multipliers permit modelling transforming one type into another and modification of the amount of flow. For example, currency exchange and water evaporation from… (More)

The minimum-cost multicommodity ow problem involves simultaneously shipping multiple commodities through a single network so that the total ow obeys arc capacity constraints and has minimum cost. Multicommodity ow problems can be expressed as linear programs, and most theoretical and practical algorithms use linear-programming algorithms specialized for the… (More)

The ParaScope Editor is an interactive parallel programming tool that assists knowledgeable users in developing scientific Fortran programs. It displays the results of sophisticated program analyses, provides a set of powerful interactive transformations, and supports program editing. This paper summarizes experiences of scientific programmers and tool… (More)

- Jeffrey D Oldham
- 2006

- Jules Bergmann Codesourcery, Llc, Jeffrey D Oldham
- 2005

VSIPL++ [1, 2] is the object-oriented successor to the Vector Signal and Image Processing Library (VSIPL) [23]. Like VSIPL, VSIPL++ specifies an Application Programming Interface (API) for use in the development of high-performance numerical applications, with a particular focus on embedded real-time systems performing signal processing and image… (More)

Generalized network flow problems generalize ordinary network flow problems by specifying a flow multiplier for each arc. For every unit of flow entering the arc, units of flow exit. We present parallel algorithms for the all-sources generalized shortest paths problem using Floyd-Warshall and matrix multiplication algorithms and monotonic piecewise-linear… (More)

- Jeffrey D Oldham
- 1998

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