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He, Xue-zhong; Li, Kai - In: Journal of banking & finance 53 (2015), pp. 140-157

Persistent link: https://www.econbiz.de/10011377714

Rationality parameter for exercising American put

Gad, Kamille Sofie Tågholt; Pedersen, Jesper Lund - In: Risks : open access journal 3 (2015) 2, pp. 103-111

In this paper, irrational exercise behavior of the buyer of an American put is characterized by a single parameter. We model irrational exercise rules as the first jump time of a point processes with stochastic intensity. By the rationality parameter, we parameterize a family of stochastic...

Persistent link: https://www.econbiz.de/10011299530

A Lyapunov function for economic MPC without terminal conditions

Grüne, Lars; Stieler, Marleen - 2014

Persistent link: https://www.econbiz.de/10011302099

Asymptotic stability and transient optimality of economic MPC without terminal conditions

Grüne, Lars; Stieler, Marleen - 2014

Persistent link: https://www.econbiz.de/10011303180

Option pricing via radial basis functions : performance comparison with traditional numerical integration scheme and parameters choice for a reliable pricing

Giribone, Pier Giuseppe; Ligato, Simone - In: International journal of financial engineering 2 (2015) 2, pp. 1-30

Persistent link: https://www.econbiz.de/10011333436

Choquet integral capacity calculus for health index estimation of multi-level industrial systems

Abichou, B.; Voisin, A.; Iung, B. - In: IMA journal of management mathematics 26 (2015) 2, pp. 205-224

Persistent link: https://www.econbiz.de/10011343532

Bilateral counterparty risk under funding constraints - part II : CVA

Crépey, Stéphane - In: Mathematical finance : an international journal of … 25 (2015) 1, pp. 23-50

Persistent link: https://www.econbiz.de/10011347256

Bilateral counterparty risk under funding constraints - part I : pricing

Crépey, Stéphane - In: Mathematical finance : an international journal of … 25 (2015) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011347260

Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process

Shen, Yang; Zeng, Yan - In: Insurance / Mathematics & economics 62 (2015), pp. 118-137

Persistent link: https://www.econbiz.de/10011312080

Optimal investment for a defined-contribution pension scheme under a regime switching model

Chen, An; Delong, Łukasz - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 397-419

Persistent link: https://www.econbiz.de/10011312280