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Option values are well-known to be the integral of a discounted transition density times a payoff function; this is just martingale pricing. It's usually done in 'S-space', where S is the terminal security price. But, for Levy processes the S-space transition densities are often very...
Persistent link: https://www.econbiz.de/10005696664
This article analyzes the specifications of option pricing models based on time-changed Levy processes. We classify option pricing models based on (i) the structure of the jump component in the underlying return process, (ii) the source of stochastic volatility, and (iii) the specification of...
Persistent link: https://www.econbiz.de/10005699646
We propose a model for stock price dynamics that explicitly incorporates random waiting times between trades, also known as duration, and show how option prices can be calculated using this model. We use ultra-high-frequency data for blue-chip companies to motivate a particular choice of...
Persistent link: https://www.econbiz.de/10005227029
Persistent link: https://www.econbiz.de/10011800675
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
Thesis (MSc (Mathematical Sciences))--Stellenbosch University, 2011
Persistent link: https://www.econbiz.de/10009429593
Thesis (MSc (Mathematical Sciences))--University of Stellenbosch, 2011.
Persistent link: https://www.econbiz.de/10009429598
Purpose – The purpose of this research is to establish that data on chemicals detected in the environment are urgently needed to comply with the future environment and chemicals policy in the European Union. The availability of data on chemicals can be evaluated by environmetrical and...
Persistent link: https://www.econbiz.de/10014965582
Triggered by advances in data gathering technologies, the use of statistical analyzes, predictions and modeling techniques in sports has gained a rapidly growing interest over the last decades. Today, professional sports teams have access to precise player positioning data and sports scientists...
Persistent link: https://www.econbiz.de/10015323844
Nonparametric methods for the estimation of the Levy density of a Levy process X are developed. Estimators that can be writtenin terms of the "jumps" of X are introduced, and so are discrete-data based approximations. A model selection approach made up oftwo steps is investigated. The first step...
Persistent link: https://www.econbiz.de/10009475806