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On the Existence of an Optimal Regression Complexity in the Least-Square Monte Carlo LSM Framework for Options Pricing
On the Existence of an Optimal Regression Complexity in the Least-Square Monte Carlo LSM Framework for ... illustrate how to value American-style options using the Least-Squares Monte Carlo LSM approach proposed by ...- Authors: Yu Zhou
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Economics>Financial economics; Economics>Financial markets; Modeling & Statistical Methods>Regression analysis
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Market Forecasting and Trading Rules Based on Soft Computing Technologies
Rules Based on Soft Computing Technologies Hybrids of the soft computing SC technologies have been applied ... competing approaches. The purpose of this research is to investigate a representative group of these applications ...- Authors: Arnold Shapiro
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Economics>Financial markets; Technology & Applications>Analytics and informatics
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Modeling Capital Market with Financial Signal Processing
Signal Processing This paper discusses the theoretic framework of modeling captial markets: index-based ... composition methodology and statisical procedure of model construction and extension: wavelets-based ...- Authors: Jenher Jeng
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Economics>Financial markets; Modeling & Statistical Methods>Stochastic models
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Pricing American Options without Expiry Date
Options without Expiry Date This paper discusses the martingale approach for pricing American-type options ... include the perpetual American put option and the perpetual maximum option in one stock case. The word “perpetual” ...- Authors: Carisa K W Yu
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Economics>Financial economics; Economics>Financial markets