Jeffrey D. Oldham

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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)
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)
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