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Valuing American options using fast recursive projections
Cosma, Antonio; Galluccio, Stefano; Scaillet, Olivier - 2012
This paper introduces a new numerical option pricing method by fast recursive projections. The projection step consists in representing the payoff and the state price density with a fast discrete transform based on a simple grid sampling. The recursive step consists in transmitting coefficients...
Persistent link: https://www.econbiz.de/10009558308
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Valuing American options using fast recursive projections
Cosma, Antonio; Galluccio, Stefano; Scaillet, Olivier - 2012
This paper introduces a new numerical option pricing method by fast recursive projections. The projection step consists in representing the payoff and the state price density with a fast discrete transform based on a simple grid sampling. The recursive step consists in transmitting coefficients...
Persistent link: https://www.econbiz.de/10009563383
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Modelling photovoltaic modules by a numerical method and artificial neural networks
Meziani, Zahra; Dibi, Zohir - In: African journal of science, technology, innovation & … 8 (2016) 3/4, pp. 331-339
Persistent link: https://www.econbiz.de/10011723628
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Short-term forecasting of GDP using large datasets : a pseudo real-time forecast evaluation exercise
Barhoumi, K.; Cristadoro, R.; Jakaitiene, A.; Jelonek, P.; … - 2007
Persistent link: https://www.econbiz.de/10003646117
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Comparing the DSGE model with the factor model : an out-of-sample forecasting experiment
Wang, Mu-Chun (contributor) - 2008
-driven and theory-based modelling in a rigorous manner. …
Persistent link: https://www.econbiz.de/10003650023
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Dynamic factor models
Breitung, Jörg; Eickmeier, Sandra - In: Allgemeines statistisches Archiv : AStA ; journal of … 90 (2006) 1, pp. 27-42
Persistent link: https://www.econbiz.de/10003284766
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Short-term forecasting of GDP using large monthly datasets : a pseudo real-time forecast evaluation exercise
Barhoumi, Karim (contributor) - 2008
Persistent link: https://www.econbiz.de/10003796979
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Short-term forecasting of GDP using large datasets : a pseudo real-time forecast evaluation exercise
Rünstler, Gerhard; Barhoumi, K.; Benk, S.; Cristadoro, R. - In: Journal of forecasting 28 (2009) 7, pp. 595-611
Persistent link: https://www.econbiz.de/10003902227
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Indeterminacy, economic fluctuations, bubbles and empirical sunspots
Aguiar-Conraria, Luís - 2006
Persistent link: https://www.econbiz.de/10003904187
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A dynamic factor model of yield curve as a predictor of the economy
Chauvet, Marcelle; Senyuz, Zeynep - 2012
Persistent link: https://www.econbiz.de/10009570152