Similar Search Results

Building a consistent pricing model from observed option prices

Laurent, Jean-Paul; Leisen, Dietmar - 1999

Persistent link: https://www.econbiz.de/10001380392

Building a consistent pricing model from observed option prices

Laurent, Jean-Paul; Leisen, Dietmar - 1998

Persistent link: https://www.econbiz.de/10001355935

Estimating income mobility in Colombia using maximum entropy econometrics

Morley, Samuel; Robinson, Sherman; Harris, Rebecca Lee - 1999 - Rev

Persistent link: https://www.econbiz.de/10001366370

Option pricing with a levy-type stochastic dynamic model for stock price process under semi-Markovian structural perturbations

Assonken, Patrick; Ladde, Gangaram S. - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-72

Persistent link: https://www.econbiz.de/10011419362

The cross-entropy method with patching for rare-event simulation of large Markov chains

Kaynar, Bahar; Ridder, Ad - 2009

which partitions the state space and applies the cross-entropy method to each partition. We investigate two versions of our …

Persistent link: https://www.econbiz.de/10011379128

Post-audits for managing cyber security investments : Bayesian post-audit using Markov Chain Monte Carlo (MCMC) simulation

Herath, Hemantha S. B.; Herath, Tejaswini C. - In: Journal of accounting and public policy 37 (2018) 6, pp. 545-563

Persistent link: https://www.econbiz.de/10011977467

Maximum entropy approach for an unreliable M×/G/1 queueing system with Bernoulli vacation, restricted admission and delayed phase repair under N-policy

Jain, Madhu; Sharma, G. C.; Rani, Varsha - In: International journal of services and operations management 23 (2016) 4, pp. 407-442

Persistent link: https://www.econbiz.de/10011588637

Importance sampling simulations of Markovian reliability systems using cross entropy

Ridder, Ad - 2004

This paper reports simulation experiments, applying the cross entropy method suchas the importance sampling algorithm …

Persistent link: https://www.econbiz.de/10011334846

Beta, sigma and club convergence : Indian experience from 1980 to 2015

Hembram, Sulekha; Haldar, Sushil Kumar - In: Indian economic review : official journal of Delhi … 54 (2019) 2, pp. 343-366

Persistent link: https://www.econbiz.de/10012225942

A continuous-time inequality measure applied to financial risk : the case of the European Union

D'Amico, Guglielmo; Regnault, Philippe; Scocchera, Stefania - In: International Journal of Financial Studies : open … 6 (2018) 3, pp. 1-16

In this paper, we apply information theory measures and Markov processes in order to analyse the inequality in the distribution of the financial risk in a pool of countries. The considered financial variables are sovereign credit ratings and interest rates of sovereign government bonds of...

Persistent link: https://www.econbiz.de/10011884177