搜索结果: 16-30 共查到“经济学 Options”相关记录104条 . 查询时间(0.073 秒)
Using high performance computing and Monte Carlo simulation for pricing american options
High performance computing NVidia CUDA GPGPU finance Monte Carlo American options
2012/6/5
High performance computing (HPC) is a very attractive and relatively new area of research, which gives promising results in many applications. In this paper HPC is used for pricing of American options...
Error estimates for binomial approximations of game put options
Error estimates for binomial approximations of game put options
2012/9/13
A game or Israeli option is an American style option where both the writer and the holder have the right to terminate the contract before the expiration time. As shows the fair price for this option c...
Overdraft fee regulation will impact banking options
the implication of the proposed legislation U.S. Federal Reserve regulations overdraft fees banking options
2011/9/30
The article looks at the implication of the proposed legislation and U.S. Federal Reserve regulations on overdraft fees in 2009 for banking options. Financial institutions are prohibited from charging...
Financial Options from Regulating Real Estate for Habitat Conservation
financial incentives habitat regulations habitat conservation transferable development rights
2011/9/11
This article offers an analysis of financial incentives for landowners, conservation bank managers, and land developers under habitat regulations for land use. A financial option theory approach is us...
Insurance Discrimination on the Basis of Health Status: An Overview of Discrimination Practices, Federal Law, and Federal Reform Options
discrimination health status health benefit products multiple exceptions and loopholes discrimination practices
2011/9/5
Actuarial underwriting, or discrimination based on an individual's health status, is a business feature of the voluntary private insurance market. The term “discrimination” in this paper is not intend...
The Macroeconomics of Financial Crises: How Risk Premiums and Liquidity Traps Affect Policy Options
Financial crisis Credit crunch Liquidity trap Risk premiums Policy options Fiscal policy Monetary policy
2011/8/21
The paper offers an overview of what structural models of the IS-LM and Mundell-Fleming variety can tell about the macroeconomics of economic crises. In addition to demonstrating how the emergence of ...
American Options Based on Malliavin Calculus and Nonparametric Variance Reduction Methods
American Options Malliavin Calculus Monte Carlo GPU
2011/7/25
Abstract: This paper is devoted to pricing American options using Monte Carlo and the Malliavin calculus. Unlike the majority of articles related to this topic, in this work we will not use localizati...
Root's Barrier: Construction, Optimality and Applications to Variance Options
Construction Optimality Applications Variance Options Pricing of Securities
2011/7/25
Abstract: Recent work of Dupire (2005) and Carr & Lee (2010) has highlighted the importance of understanding the Skorokhod embedding originally proposed by Root (1969) for the model-independent hedgin...
A method for pricing American options using semi-infinite linear programming
optimal stopping excessive functions upper bounds semiinfinite linear programming
2011/3/30
We introduce a new approach for the numerical pricing of American options. The main idea is to choose a finite number of suitable excessive functions (randomly) and to find the smallest majorant of th...
Convex order properties of discrete realized variance and applications to variance options
independent increments increasing convex order discretely sampled
2011/3/30
We consider a square-integrable semimartingale with conditionally independent increments and symmetric jump measure, and show that its discrete realized variance dominates its quadratic variation in i...
After 30 years of discussion and research, the academic community has established a complete theoretical system of real options and provided an excellent framework for the use of real options theory i...
Hedging of Game Options With the Presence of Transaction Costs
proportional transaction Black-Scholes super-replication price
2011/3/30
We study the problem of super-replication for game options under proportional transaction costs. We consider a multidimensional model which is an extension of the usual Black-Scholes (BS) model, in th...
Approximating European Options by Rebate Barrier Options
European options Financial bubbles Local martingales Truncation approximation Convergence rate Barrier options
2011/3/23
When the underlying stock price is a strict local martingale process under an equivalent local martingale measure, Black-Scholes PDE associated with an European option may have multiple solutions. In ...
On the Use of Policy Iteration as an Easy Way of Pricing American Options
Policy Iteration Pricing American Options
2011/1/4
When using finite differences or finite elements for American option pricing, one usually has to solve what is known as a discrete linear complementarity problem (LCP). Widely used methods for solving...
Controlled options: derivatives with added flexibility
Controlled options derivatives added flexibility
2011/1/4
The paper introduces a modification of the passport options such that the holder selects select dynamically a weight function that control the distribution of the payments (benefits) for option holder...