Showing 81 - 90 of 645,828
Persistent link: https://www.econbiz.de/10003781004
Persistent link: https://www.econbiz.de/10003834547
Mellin transforms in option pricing theory were introduced by Panini and Srivastav (2004). In this contribution, we …
Persistent link: https://www.econbiz.de/10003839565
We extend a framework based on Mellin transforms and show how to modify the approach to value American call options on dividend paying stocks. We present a new integral equation to determine the price of an American call option and its free boundary using modi ed Mellin transforms. We also show...
Persistent link: https://www.econbiz.de/10003839567
This paper presents a new approach to deriving default intensities from CDS or bond spreads that yields smooth intensity curves required e.g. for pricing or risk management purposes. Assuming continuous premium or coupon payments, the default intensity can be obtained by solving an integral...
Persistent link: https://www.econbiz.de/10003796155
Persistent link: https://www.econbiz.de/10003867417
This paper studies polar sets of anisotropic Gaussian random elds, i.e. sets which a Gaussian random eld does not hit almost surely. The main assumptions are that the eigenvalues of the covariance matrix are bounded from below and that the canonical metric associated with the Gaussian random eld...
Persistent link: https://www.econbiz.de/10003905608
Persistent link: https://www.econbiz.de/10008906161
Persistent link: https://www.econbiz.de/10003948437
Persistent link: https://www.econbiz.de/10003957719