Zobrazeno 1 - 8
of 8
pro vyhledávání: '"Multidimensional optimal stopping problem"'
Autor:
Neofytos Rodosthenous, Pavel V. Gapeev
Publikováno v:
J. Appl. Probab. 51, no. 3 (2014), 799-817
We study optimal stopping problems related to the pricing of perpetual American options in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depend on the running values of its max
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6e237967f7728cbbf886a5c8ed37c44d
http://arxiv.org/abs/1405.4438
http://arxiv.org/abs/1405.4438
Akademický článek
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Autor:
Kashtanov, Yu. N., Fedyaev, I. P.
Publikováno v:
Vestnik St. Petersburg University: Mathematics; Jul2020, Vol. 53 Issue 3, p287-294, 8p
Autor:
Trabelsi, Faouzi, Trad, Abdelhamid
Publikováno v:
Applied Mathematical Finance. Sep2002, Vol. 9 Issue 3, p189. 29p.
Autor:
Igor P. Fedyaev, Yuriy N. Kashtanov
Publikováno v:
Vestnik St. Petersburg University, Mathematics. 53:287-294
This paper considers the application of the stochastic mesh method in solving the multidimensional optimal stopping problem for a diffusion process with nonlinear payoff functions. A special discretization scheme of the diffusion process is presented
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c8a9e55738c2e1e21b0a94eaa2ebc239
https://doi.org/10.1134/s1063454120030097
https://doi.org/10.1134/s1063454120030097
Autor:
GAPEEV, PAVEL V., SHIRYAEV, ALBERT N.
Publikováno v:
Advances in Applied Probability; Mar2013, Vol. 45 Issue 1, p164-185, 22p
Autor:
Abdelhamid Trad, Faouzi Trabelsi
Publikováno v:
Applied Mathematical Finance. 9:189-217
In the setting of the Black-Scholes option pricing market model, the seller of a European option must trade continuously in time. This is, of course, unrealistic from the practical viewpoint. He must then follow a discrete trading strategy. However,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::45596f679a688be8c58d665bab30e8ad
https://doi.org/10.1080/1350486022000013672
https://doi.org/10.1080/1350486022000013672
This volume LNCS 14413 constitutes the refereed proceedings of the 19th International Conference, WINE 2023, in December 2023 held in Shanghai, China. The 37 full papers presented together with 29 one-page abstracts were carefully reviewed and s