Similar Search Results

Bismut-Elworthy-Li formula for subordinated Brownian motion applied to hedging financial derivatives

Kateregga, M.; Mataramvura, S.; Taylor, D. - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-25

The objective of the paper is to extend the results in Fournié, Lasry, Lions, Lebuchoux, and Touzi (1999), Cass and Fritz (2007) for continuous processes to jump processes based on the Bismut-Elworthy-Li (BEL) formula in Elworthy and Li (1994). We construct a jump process using a subordinated...

Persistent link: https://www.econbiz.de/10011988796

Convergence studies on Monte Carlo methods for pricing mortgage-backed securities

Pang, Tao; Yang, Yipeng; Zhao, Dai - In: International Journal of Financial Studies 3 (2015) 2, pp. 136-150

Monte Carlo methods are widely-used simulation tools for market practitioners from trading to risk management. When … Monte Carlo method the most suitable, if not the only, numerical method. In practice, while simulation processes in option … convergence of OAS requires thousands of simulation paths (absolute convergence), only hundreds of paths may be needed to obtain …

Persistent link: https://www.econbiz.de/10011708977

Large-scale empirical tests of the Markov Tree model

Bhat, Harish S.; Kumar, Nitesh - In: International Journal of Financial Studies 3 (2015) 3, pp. 280-318

The Markov Tree model is a discrete-time option pricing model that accounts for short-term memory of the underlying asset. In this work, we compare the empirical performance of the Markov Tree model against that of the Black-Scholes model and Heston's stochastic volatility model. Leveraging a...

Persistent link: https://www.econbiz.de/10011708984

The fractional step method versus the radial basis functions for option pricing with correlated stochastic processes

Kagraoka, Yusho - In: International Journal of Financial Studies 8 (2020) 4, pp. 1-13

In option pricing models with correlated stochastic processes, an option premium is commonly a solution to a partial differential equation (PDE) with mixed derivatives in more than two space dimensions. Alternating direction implicit (ADI) finite difference methods are popular for solving a PDE...

Persistent link: https://www.econbiz.de/10013200324

Neural network pricing of American put options

Gaspar, Raquel M.; Lopes, Sara Dutra; Sequeira, Bernardo - In: Risks 8 (2020) 3, pp. 1-24

In this study, we use Neural Networks (NNs) to price American put options. We propose two NN models-a simple one and a more complex one-and we discuss the performance of two NN models with the Least-Squares Monte Carlo (LSM) method. This study relies on American put option market prices, for...

Persistent link: https://www.econbiz.de/10013200606

Probabilidad de incumplimiento en inversiones de infraestructura: Análisis a partir de modelos estructurales de riesgo de crédito

Zapata Quimbayo, Carlos Andrés - In: Revista de Métodos Cuantitativos para la Economía y … 30 (2020), pp. 327-345

The purpose of this paper is to estimate the default probabilities in infrastructure projects. For that, we analyze the exposure of the lenders to a state of default. This application is made by assuming the debt service coverage ratio (DSCR) dynamic itself and the payment profile determined by...

Persistent link: https://www.econbiz.de/10014494401

Valorización de opciones reales: modelo Ornstein-Uhlenbeck

Tresierra, Álvaro; Carrasco Montero, Claudia Marilia - In: Journal of Economics, Finance and Administrative Science 21 (2016) 41, pp. 56-62

La presente investigación tiene como objetivo principal desarrollar un análisis de toma de decisiones bajo incertidumbre a través de la aplicación de opciones reales en la evaluación de inversiones en proyectos mineros. Asimismo, se propone estudiar el comportamiento de los precios del oro,...

Persistent link: https://www.econbiz.de/10011859390

Bank stress testing: A stochastic simulation framework to assess banks' financial fragility

Montesi, Giuseppe; Papiro, Giovanni - In: Risks 6 (2018) 3, pp. 1-54

We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks' capital …

Persistent link: https://www.econbiz.de/10011996640

Stochastic optimization system for bank reverse stress testing

Montesi, Giuseppe; Papiro, Giovanni; Fazzini, Massimiliano - In: Journal of Risk and Financial Management 13 (2020) 8, pp. 1-43

propose a reverse stress test methodology based on a stochastic simulation optimization system. This methodology enables users …

Persistent link: https://www.econbiz.de/10012611398

Macroeconomic impacts of trade credit: An agent-based modeling exploration

Alexandre, Michel; Lima, Gilberto Tadeu - In: EconomiA 21 (2020) 2, pp. 130-144

This paper explores the effects of trade credit by assessing its macroeconomic impacts on several dimensions. To that end, we develop an agent-based model (ABM) with two types of firms: downstream firms, which produce a final good for consumption purposes using intermediate goods, and upstream...

Persistent link: https://www.econbiz.de/10013466674

1
2
3
4
5
6
7
8
9
10
Next
Last