Zobrazeno 1 - 10
of 33
pro vyhledávání: '"Garces, Len Patrick Dominic M."'
We investigate a continuous-time investment-consumption problem with model uncertainty in a general diffusion-based market with random model coefficients. We assume that a power utility investor is ambiguity-averse, with the preference to robustness
Externí odkaz:
http://arxiv.org/abs/2407.02831
We consider a method of lines (MOL) approach to determine prices of European and American exchange options when underlying asset prices are modelled with stochastic volatility and jump-diffusion dynamics. As the MOL, as with any other numerical schem
Externí odkaz:
http://arxiv.org/abs/2106.07362
Publikováno v:
Quantitative Finance 20(2), 291-310
In this article, we provide representations of European and American exchange option prices under stochastic volatility jump-diffusion (SVJD) dynamics following models by Merton (1976), Heston (1993), and Bates (1996). A Radon-Nikodym derivative proc
Externí odkaz:
http://arxiv.org/abs/2002.10202
We price European and American exchange options where the underlying asset prices are modelled using a Merton (1976) jump-diffusion with a common Heston (1993) stochastic volatility process. Pricing is performed under an equivalent martingale measure
Externí odkaz:
http://arxiv.org/abs/2002.10194
Publikováno v:
North American Actuarial Journal; 2024, Vol. 28 Issue 3, p570-592, 23p
Autor:
Palanca-Tan, Rosalina1 rtan@ateneo.edu, Garces, Len Patrick Dominic M.1, Purisima, Angelica Nicole C.1, Zaratan, Angelo Christian L.1
Publikováno v:
Southeast Asian Studies. Dec2015, Vol. 4 Issue 3, p565-580. 16p.
Autor:
Palanca-Tan, Rosalina, Garces, Len Patrick Dominic M., Purisima, Angelica Nicole C., Zaratan, Angelo Christian L.
Publikováno v:
Southeast Asian Studies. 4(3):565-580
Using panel data gathered from 16 regions of the Philippines for the period 2009–11, this paper investigates the relationship between tourism and crime. The findings of the study show that the relation between tourism and crime may largely depend o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=jairo_______::44851f5483c99ecf671831b961610760
http://hdl.handle.net/2433/203092
http://hdl.handle.net/2433/203092
Autor:
de las Peñas, Maria Louise Antonette N., Verzosa, Debbie Marie B., Aberin, Maria Alva Q., Garces, Len Patrick Dominic M., Francisco, Flordeliza F., Bautista, Evangeline P., Tolentino, Mark Anthony C., Tabares, Winfer C.
Publikováno v:
Philippine Journal of Science; Dec2019, Vol. 148 Issue 4, p735-749, 15p
Autor:
Verzosa, Debbie Marie B., De Las Peñas, Ma. Louise Antonette N., Aberin, Maria Alva Q., Garces, Len Patrick Dominic M.
Publikováno v:
International Journal of Mathematical Education in Science & Technology; Jul2019, Vol. 50 Issue 5, p766-778, 13p
Autor:
Verzosa, Debbie Marie B., De Las Peiias, Ma. Louise Antonette N., Aberin, Maria Alva Q., Garces, Len Patrick Dominic M.
Publikováno v:
International Journal for Technology in Mathematics Education; 2018, Vol. 25 Issue 4, p21-33, 13p