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A Space Marching Finite Difference Algorithm for Valuing American
Algorithm for Valuing American This is the abstract of the paper A Space Marching Finite Difference ... In this paper, the author considers the problem of valuating American options written on assets that pay ...- Authors: Lijia Guo
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Enterprise Risk Management>Risk measurement - ERM; Finance & Investments>Derivatives
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Stochastic Optimization Techniques for Pricing Callable Bonds: Continuous Time Approach
time models.. The methodology uses stochastic optimization tcchniques where an issuer of a bond is ItTing ... minimize the price of a callable bond in a game against the bondholder. Some flexibility to the model ...- Authors: Mark Saksonov
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models
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A Stochastic Definition of Future Shares
Definition of Future Shares This is the abstract of the paper 'A Stochastic Definition of Future Shares' ... Shares'. The traditional definition of actuarial future values and stochastic definition of Ramsay are ...- Authors: José Garrido
- Date: Jan 2000
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Investments; Modeling & Statistical Methods>Stochastic models
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Quasi-Monte Carlo Methods in Numerical Finance
Carlo Methods in Numerical Finance This is the abstract of the paper Quasi-Monte Carlo Methods in Numerical ... version of the Monte Carl method that has attractive properties for the numerical valuation of derivatives ...- Authors: Ken Seng Tan
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Simulation