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针对大数据体量大的问题，在Macro-Q算法的基础上提出了一种在线更新的Macro-Q算法(MQIU)，同时更新抽象动作的值函数和元动作的值函数，提高了数据样本的利用率。针对传统的马尔可夫过程模型和抽象动作均难于应对可变性，引入中断机制，提出了一种可中断抽象动作的Macro-Q无模型学习算法(IMQ)，能在动态环境下学习并改进控制策略。仿真结果验证了MQIU算法能加快算法收敛速度，进而能解决更大规...
Closed-form expansion, conditional expectation, and option valuation
asymptotic expansion diffusion option pricing conditional expectation iterated stochastic integral
2016/1/20
Enlightened by the theory of Watanabe [Watanabe S (1987) Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels. Ann. Probab. 15:1–39] for analyzing generalized rando...
Universal Jurisdiction In Absentia: Is It A Legally Valid Option for Repressing Heinous Crimes?
Legally Valid Option Absentia
2015/8/4
On April 11, 2000, an investigating judge of the Brussels tribunal of first instance issued an international arrest warrant in absentia against Mr. Abdulaye Yoridia Ndombasi.1 The warrant was issued f...
Auctionomics and Power Auctions have submitted this exhibit to the Incentive
Auction NPRM at the request of the Commission’s staff. Its purpose is to elicit more
focused comments and to present a ...
Commodity price risk management using option strategies
commodity market hedging strategies vanilla options
2015/5/4
In the world of increasing price volatility, it is more important than ever to understand how to manage the price risk. The paper deals with the price risk management issues associated with commoditie...
Starting in 2008, major changes to the federal student loan system have increased the generosity and flexibility of repayment options. In theory, these efforts should reduce the effect of the business...
Preliminary remarks on option pricing and dynamic hedging
Quantitative finance option pricing, European option dynamic hedging replication arbitrage time series volatility abrupt changes model-free control nonstandard analysis.
2012/9/14
An elementary arbitrage principle and the existence of trends in financial time series, which is base on a theorem published in 1995 by P. Cartier and Y. Perrin,lead to a new understanding of option p...
High-order short-time expansions for ATM option prices under a tempered stable Lévy model
Exponential Levy models CGMY and tempered stable models short-time asymptotics at-the-money option pricing implied volatility.
2012/9/14
The short-time asymptotic behavior of option prices for a variety of models with jumps has received much attention in recent years. In the present work, a novel second-order approximation for ATM opti...
Option prices with call prices
Option valuation Barrier options Call options Americanoptions static hedging
2012/9/14
There exist several methods how more general options can be priced with call prices. In this article, we extend these results to cover a wider class of options and market models. In particular, we int...
Conditional sampling for barrier option pricing under the Heston model
Conditional sampling barrier option pricing Heston model
2012/9/14
We propose a quasi-Monte Carlo algorithm for pricing knock-out and knock-in barrier options under the Heston (1993) stochastic volatility model. This is done by modifying the LT method from Imai and T...
An Accurate FFT-Based Algorithm for Bermudan Barrier Option Pricing
Fast Fourier Transform (FFT) Bermudan Barrier Option CONV Method.
2013/1/28
An efficient and accurate numerical method, which is called the CONV method, was proposed by Lord et al in [1] to price Bermudan options. In this paper, this method is applied to price Bermudan barrie...
European Option Pricing with Liquidity Shocks
liquidity shock indifference price exponential utility maximization
2012/6/2
We study the valuation and hedging problem of European options in a market subject to liquidity shocks. Working within a Markovian regime-switching setting, we model illiquidity as the inability to tr...
The Variance of Standard Option Returns
Variance of Standard Option Returns Pricing of Securities
2012/4/28
The vast majority of works on option pricing operate on the assumption of risk neutral valuation, and consequently focus on the expected value of option returns, and do not consider risk parameters, s...
CDS options allow investors to express a view on spread volatility and obtain a wider range of payoffs than are possible with vanilla CDS. We give a detailed exposition of different types of single-na...
Indifference Pricing of American Option Underlying Illiquid Stock under Exponential Forward Performance
Stochastic control generalized verification theorem portfolio optimization indifference pricing exponential forward performance
2012/3/2
This work focuses on the indifference pricing of American call option underlying a non-traded stock, which may be partially hedgeable by another traded stock. Under the exponential forward measure, th...