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A Monte Carlo method using PDE expansions for a diversifed equity index model
Heath, David C.; Platen, Eckhard - 2014
Persistent link: https://www.econbiz.de/10011344801
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A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model
Heath, David; Platen, Eckhard - Finance Discipline Group, Business School - 2014
This paper considers a new class of Monte Carlo methods that are combined with PDE expansions for the pricing and hedging of derivative securities for multidimensional diffusion models. The proposed method combines the advantages of both PDE and Monte Carlo methods and can be directly applied to...
Persistent link: https://www.econbiz.de/10010888484
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Variance reduction methods at the pricing of weather options
Raimova, Gulnora - In: Applied Econometrics 21 (2011) 1, pp. 3-15
Paper is devoted to various ways of variance reduction for estimation of the price of a weather option on an example based on the model of daily average temperature
Persistent link: https://www.econbiz.de/10009018550
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Calculation aspects of the European Rebalanced Basket Option using Monte Carlo methods
Van der Merwe, Carel Johannes - 2010
ENGLISH ABSTRACT: Life insurance and pension funds offer a wide range of products that are invested in a mix ofassets. These portfolios (II), underlying the products, are rebalanced back to predetermined fixedproportions on a regular basis. This is done by selling the better performing assets...
Persistent link: https://www.econbiz.de/10009442047
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Model risk for barrier options when priced under different lévy dynamics
Mbakwe, Chidnima - 2011
Thesis (MSc (Mathematical Sciences))--University of Stellenbosch, 2011.
Persistent link: https://www.econbiz.de/10009429599
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Acceptance sampling for attributes via hypothesis testing and the hypergeometric distribution
Samohyl, Robert Wayne - In: Journal of Industrial Engineering International 14 (2018) 2, pp. 395-414
. First, by suggesting the use of the hypergeometric distribution to calculate the parameters of sampling plans avoiding the …, discrepancies can be large. The conclusion is that the hypergeometric distribution, ubiquitously available in commonly used software …
Persistent link: https://www.econbiz.de/10011995844
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A Bayesian analysis of racial differences in treatment among breast-cancer patients
Nandram, Balgobin; Bhadra, Dhiman; Liu, Yiwei - 2015
Persistent link: https://www.econbiz.de/10010510764
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Acceptance sampling for attributes via hypothesis testing and the hypergeometric distribution
Samohyl, Robert Wayne - In: Journal of industrial engineering international 14 (2018) 2, pp. 395-414
. First, by suggesting the use of the hypergeometric distribution to calculate the parameters of sampling plans avoiding the …, discrepancies can be large. The conclusion is that the hypergeometric distribution, ubiquitously available in commonly used software …
Persistent link: https://www.econbiz.de/10011871320
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Global Networks of Trade and Bits
Riccaboni, Massimo; Rossi, Alessandro; Schiavo, Stefano - Dipartimento di Economia e Management, Università … - 2011
common null model for the number of connections among each country-pair, based on the hypergeometric distribution. Original …
Persistent link: https://www.econbiz.de/10009319141
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On Some Distributions Arising from Certain Generalized Sampling Schemes
Panaretos, John; Xekalaki, Evdokia - Volkswirtschaftliche Fakultät, … - 1986
, the hypergeometric, negative hypergeometric, logarithmic series, generalized Waring, Polya and inverse Polya distributions …
Persistent link: https://www.econbiz.de/10005787191