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Testing option pricing with the Edgeworth expansion
(Elsevier B.V., 2004-12-15)
There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns ...
Testing option pricing with the Edgeworth expansion
(Elsevier B.V., 2004-12-15)
There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns ...
American option pricing with machine learning: An extension of the Longstaff-Schwartz method
(Lociedade Brasileira de Finanças, 2021)
Testing option pricing with the Edgeworth expansion
(Elsevier B.V., 2014)
The valuation of multidimensional American real options using the LSM simulation method
(PERGAMON-ELSEVIER SCIENCE LTD, 2008)
In this paper we show how a multidimensional American real option may be solved using the LSM simulation method originally proposed by Longstaff and Schwartz [2001, The Review of the Financial Studies 14(1): 113-147] for ...
The valuation of multidimensional american real options using the lsm simulation method
(PERGAMON-ELSEVIER SCIENCE LTD, 2008)
In this paper we show how a multidimensional American real option may be solved using the LSM simulation method originally proposed by Longstaff and Schwartz [2001, The Review of the Financial Studies 14(1): 113-147] for ...
La ecuación de segundo grado en la estimación de parámetros de la martingala y la valuación de opciones americanas a través de la programación dinámica estocástica.
(Universidad Autónoma Metropolitana (México). Unidad Azcapotzalco., 2014)
En este trabajo se presentan los factores de influencia y las características que se deben satisfacer en la teoría de valuación de opciones en un mercado completo, se utiliza el marco teórico del modelo de Cox, Ross y ...
Pricing the exotic : path-dependent american options with stochastic barriers
(UniandesMaestría en EconomíaFacultad de Economía, 2018)
"The use of currency options as an instrument of intervention in the foreign exchange market has been largely unexplored. In this document we develop a pricing strategy that allow us to value and examine the options issued ...
A new iterative method for pricing American option
(2013)
En esta tesis es propuesto un novedoso, simple, rápido y preciso método iterativo para valorizar opciones Americanas, el cual se basa en una solución directa del precio crítico. El rendimiento del método iterativo propuesto ...