Similar Search Results

Adaptive Simulation Algorithms for Pricing American and Bermudan Options by Local Analysis of Financial Market

Belomestny, Denis; Milstein, Grigori N. - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005

small number of steps ahead. This approach allows constructing both upper and low bounds for the true price by Monte Carlo …

Persistent link: https://www.econbiz.de/10005861418

Regression methods in pricing American and Bermudan options using consumption processes

Belomestny, Denis; Milstein, Grigori N.; Spokoiny, Vladimir - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

regression based algorithms together with a new approach towards constructing upper bounds for the price of the option... …

Persistent link: https://www.econbiz.de/10005854704

Sensitivities for Bermudan Options by Regression Methods

Belomestny, Denis; Milstein, Grigori; Schoenmakers, John - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

initial positions. Assuming that the price of a Bermudanoption can be evaluated sufficiently accurate, we develop a method …

Persistent link: https://www.econbiz.de/10005860987

Comparison of Panel Cointegration Tests

Örsal Karaman, Deniz Dilan - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

The main aim of this paper is to compare the size and size-adjusted power prop-erties of four residual-based and one maximum-likelihood-based panel cointegrationtests with the help of Monte Carlo simulations. In this study the panel-rho, the group-rho, the panel-t, the group-t statistics of...

Persistent link: https://www.econbiz.de/10005861016

Forward and reverse representations for Markov chains

Milstein, Grigori N.; Schoenmakers, John G. M.; … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

In this paper we carry over the concept of reverse probabilistic representations developed in Milstein, Schoenmakers, Spokoiny (2004) for diffusion processes, to discrete time Markov chains. We outline the construction of reverse chains in several situations and apply this to processes which are...

Persistent link: https://www.econbiz.de/10005861319

Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions

Brüggemann, Ralf - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

This paper investigates the finite sample properties of confidence intervals for structural vector error correction models (SVECMs) with long-run identifying restrictions on the impulse response functions. The simulation study compares methods that are frequently used in applied SVECM studies...

Persistent link: https://www.econbiz.de/10005861837

Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference

Hautsch, Nikolaus; Ou, Yangguoyi - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

In this paper, we review the most common specifications of discrete-time stochasticvolatility (SV) models and illustrate the major principles of corresponding MarkovChain Monte Carlo (MCMC) based statistical inference. We provide a hands-on approachwhich is easily implemented in empirical...

Persistent link: https://www.econbiz.de/10005862429

Numerics of Implied Binomial Trees

Härdle, Wolfgang; Mysickova, Alena - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

known as \volatility smile". They provide a discrete approximation to the continuous risk neutral process for the underlying … Barle and Cakici (BC). After the formation of IBT we can estimate the implied local volatility and thestate price density …

Persistent link: https://www.econbiz.de/10005860517

Convenience Yields for CO2 Emission Allowance Futures Contracts

Borak, Szymon; Härdle, Wolfgang; Trück, Stefan; … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

yields can be interpreted as market expectation on the price risk of CO2 emissions allowance prices and the uncertainty of EU … convenience yields for CO2 emission allowance futures. We conduct an empirical study on price behavior, volatility term structure … high fraction of the yields can be explained by the price level and volatility of the spot prices. We conclude that the …

Persistent link: https://www.econbiz.de/10005861246

Discounted Optimal Stopping for Maxima of some Jump-Diffusion Processes

Gapeev, Pavel V. - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

We present solutions to some discounted optimal stopping problems for the maximum process in a model driven by a Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the initial problems to integro-differential free-boundary problems...

Persistent link: https://www.econbiz.de/10005861277