Showing 91 - 100 of 111
We study a model of a financial market populated with heterogenous agents whose preferences exhibit dependence on some reference level of wealth. Investment decisions of the agents are myopic and are based upon the demand for the risky asset derived from an S-shaped utility maximization. The...
Persistent link: https://www.econbiz.de/10005566311
In this contribution we consider a dynamic portfolio optimization problem where the manager has to deal with the presence of minimum guarantee requirements on the performance of the portfolio. We briefly discuss different possibilities for the formulation of the problem and present a quite...
Persistent link: https://www.econbiz.de/10008458449
In this contribution, we study options on assets which pay discrete dividends. We focus on American options, as when dealing with equities, most traded options are of American-type. In particular, we analyze implied volatilities in the model proposed by Haug et al. [12] and in the binomial...
Persistent link: https://www.econbiz.de/10008458450
Richardson extrapolation (RE) is a commonly used technique in financial applications for accelerating the convergence of numerical methods. Particularly in option pricing, it is possible to refine the results of several approaches by applying RE, in order to avoid the difficulties of employing...
Persistent link: https://www.econbiz.de/10005756568
In a previous paper, we proposed two heuristic algorithms for the euclidean 2-period Balanced Travelling Salesman Problem (2B-TSP). In this problem, which arises from a similar one introduced by Butler et al., a certain number of customers must be visited at minimum total cost over a period of...
Persistent link: https://www.econbiz.de/10005756569
In this contribution we carried out a wide simulation analysis in order to study the contagion mechanism induced in a portfolio of bank loans by the presence of business relationships among the positions. To this aim we jointly apply a structural model based on a factor approach extended in...
Persistent link: https://www.econbiz.de/10005756571
We study the performance of four market protocols that lead to allocative efficiency: batch auction, continuous double auction, specialist dealership, and a hybrid of these last two. In a former study, we compared them with respect to several additional performance criteria under the assumption...
Persistent link: https://www.econbiz.de/10005756572
In this paper we conjugate the operative usability of the net present value with the capability of the fuzzy and the interval approaches to manage uncertainty. Our fuzzy interval net present value can be interpreted, besides the usual present value of an investment project, as the present value...
Persistent link: https://www.econbiz.de/10005756573
In this contribution, we consider options written on stocks which pay cash dividends. Dividend payments have an effect on the value of options: high dividends imply lower call premia and higher put premia. While exact solutions to problems of evaluating both European and American call options...
Persistent link: https://www.econbiz.de/10005756574
In this paper we consider the problem of studying the gap between bounds of risk measures for sums of non-independent random variables. Owing to the choice of the context where to set the problem, namely that of distortion risk measures, we first deduce an explicit formula for the risk measure...
Persistent link: https://www.econbiz.de/10005756575