Search Results - person:"Milstein, G."

Martingale approach in pricing and hedging European options under regime-switching

Milʹstejn, Grigorij N.; Spokojnyj, Vladimir G. - 2011

The paper focuses on the problem of pricing and hedging a European contingent claim for an incomplete market model, in which evolution of price processes for a saving account and stocks depends on an observable Markov chain. The pricing function is evaluated using the martingale approach. The...

Persistent link: https://www.econbiz.de/10009379451

Sensitivities for Bermudan options by regression methods

Belomestny, Denis (contributor); … - 2007

. 1 belomestny, d., milstein, g. and schoenmakers, j. 2 1 Introduction Valuation of high-dimensional American …. belomestny, d., milstein, g. and schoenmakers, j. 3 In Section 2 we introduce our modelling framework and recall some known facts …. The holder of this contract belomestny, d., milstein, g. and schoenmakers, j. 4 has the right to call (once) a cash …

Persistent link: https://www.econbiz.de/10003634598

Adaptive simulation algorithms for pricing American and Bermudan options by local analysis of financial market

Belomestny, Denis (contributor); … - 2006

Here we develop an approach for efficient pricing discrete-time American and Bermudan options which employs the fact that such options are equivalent to the European ones with a consumption, combined with analysis of the market model over a small number of steps ahead. This approach allows...

Persistent link: https://www.econbiz.de/10003324475

Forward and reverse representations for Markov chains

Milʹstejn, Grigorij N. (contributor); … - 2006

, 1992. [8] Milstein, G.N., Interaction of Markov processes. Theory Prob. Appl., 17 (1972), 36{45. [9] Milstein, G … (1969), 1371-1384. [11] Milstein, G.N. and Schoenmakers, J.G.M., Monte Carlo construction of hedging strategies against … multi-asset European claims. Stochastics and Stochastics Reports, 73, (1-2) (2002), 125{157. 26 [12] Milstein, G …

Persistent link: https://www.econbiz.de/10003324493

Regression methods in pricing American and Bermudan options using consumption processes

Belomestny, Denis (contributor); … - 2006

No. 436 RUS 17/137/05) which are gratefully acknowledged. 1 belomestny, d., milstein, g. and spokoiny, v. 2 AMS 2000 … state space (e.g., X = Rd, X = Rd+). belomestny, d., milstein, g. and spokoiny, v. 3 We assume that the modelling is based … form bui(x) = 1M MX m=1 Bi B¿ f(mX i;x ¿ ); (2.3) belomestny, d., milstein, g. and spokoiny, v. 5 where ¿ is the flrst …

Persistent link: https://www.econbiz.de/10003375769

Sensitivities for Bermudan options by regression methods

Belomestny, Denis; Milʹstejn, Grigorij N.; … - In: Decisions in economics and finance : DEF ; a journal of … 33 (2010) 2, pp. 117-138

Persistent link: https://www.econbiz.de/10008668146

Sensitivities for Bermudan options by regression methods

Belomestny, Denis; Milstein, G.; Schoenmakers, John - In: Decisions in Economics and Finance 33 (2010) 2, pp. 117-138

Persistent link: https://www.econbiz.de/10008775972

Simulation based option pricing

Belomestny, Denis; Milʹstejn, Grigorij N. - In: Applied quantitative finance, (pp. 363-378). 2009

Persistent link: https://www.econbiz.de/10003746423

Forward and reverse representations for Markov chains

Milstein, G.N.; Schoenmakers, J.G.M.; Spokoiny, V. - In: Stochastic Processes and their Applications 117 (2007) 8, pp. 1052-1075

In this paper we carry over the concept of reverse probabilistic representations developed in Milstein, Schoenmakers, Spokoiny [G.N. Milstein, J.G.M. Schoenmakers, V. Spokoiny, Transition density estimation for stochastic differential equations via forward-reverse representations, Bernoulli 10...

Persistent link: https://www.econbiz.de/10008875530

Monte Carlo evaluation of American options using consumption processes

Belomestny, Denis; Milʹstejn, Grigorij N. - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 455-481

Persistent link: https://www.econbiz.de/10003347377