Narrow search
Showing 1 - 10 of 642,728
Cover Image
A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time
Kohler, Michael - In: Advances in statistical analysis : AStA ; a journal of … 92 (2008) 2, pp. 153-178
Persistent link: https://www.econbiz.de/10003716614
Cover Image
Sensitivities for Bermudan options by regression methods
Belomestny, Denis (contributor);  … - 2007
In this article we propose several pathwise and finite difference based methods for calculating sensitivities of Bermudan options using regression methods and Monte Carlo simulation. These methods rely on conditional probabilistic representations which allow, in combination with a regression...
Persistent link: https://www.econbiz.de/10003634598
Cover Image
Optimal stopping under ambiguity
Riedel, Frank (contributor) - 2007
induction fails. If, however, the class of priors is time-consistent, we establish a generalization of the classical theory of … optimal stopping. To this end, we develop first steps of a martingale theory for multiple priors. We define minimax (super …
Persistent link: https://www.econbiz.de/10003731193
Cover Image
Spline cubatures for expectations of diffusion processes and optimal stopping in higher dimensions : (with computational finance in view)
Lyasoff, Andrew - In: Mathematical control theory and finance, (pp. 265-291). 2008
Persistent link: https://www.econbiz.de/10003755614
Cover Image
A note on pricing, duality and symmetry for two-dimensional lévy markets
Fajadro, José; Mordecki, Ernesto - In: From stochastic calculus to mathematical finance : the …, (pp. 249-256). 2006
Persistent link: https://www.econbiz.de/10003287162
Cover Image
Sollen Anschlussverbindungen bei Verspätungen unterbrochen werden? - Ein Ansatz zur Formulierung der Fragestellung in der Theorie des Option Pricing
Bauerdorf, Ina - In: Operations research proceedings 2005 : selected papers …, (pp. 381-386). 2006
Persistent link: https://www.econbiz.de/10003347693
Cover Image
Characterization of optimal stopping regions of American Asian and lookback options
Dai, Min; Kwok, Yue-Kuen - In: Mathematical finance : an international journal of … 16 (2006) 1, pp. 63-82
Persistent link: https://www.econbiz.de/10003336785
Cover Image
The critical price for the American put in an exponential Lévy model
Lamberton, Damien; Mikou, Mohammed - In: Finance and stochastics 12 (2008) 4, pp. 561-581
Persistent link: https://www.econbiz.de/10003899272
Cover Image
Representations for optimal stopping under dynamic monetary utility functionals
Krätschmer, Volker; Schoenmakers, John - 2009
In this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient conditions for the Bellman principle and the existence of optimal stopping times are provided. Particular attention is payed to representations which allow for a numerical...
Persistent link: https://www.econbiz.de/10003905569
Cover Image
Sensitivities for Bermudan options by regression methods
Belomestny, Denis; Milʹstejn, Grigorij N.; … - In: Decisions in economics and finance : DEF ; a journal of … 33 (2010) 2, pp. 117-138
Persistent link: https://www.econbiz.de/10008668146