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Pricing American Options without Expiry Date
Pricing ... motion. Let S(t) be the price of a stock at time t and define X(t) by S(t) = S(0) eX(t), t ... te e S(t); t 0− ζ ≥ is a martingale. The martingale condition is * rt t r(0) (0)E e e S(t) e S(0)− ...- 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
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A General Framework for Financial Decisions
similar problems with methods adopted in the 1970's by the U. S. life insurance industry to price long-term ... and loan insolvencies of the late 1980's and early 1990's has highlighted the responsibilities of regulators ...- Authors: Oakley E Van Slyke
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Effective decision-making
- Publication Name: Actuarial Research Clearing House
- Topics: Actuarial Profession>Best practices; Economics>Financial economics
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On the Existence of an Optimal Regression Complexity in the Least-Square Monte Carlo LSM Framework for Options Pricing
martingale measure Q. Denote ( , ; , )C s t Tω as cash flows at time s generated by the option for the sample ... following the optimal stopping rule for all ,s t s T< ≤ . Then the value of continuation at time ( ...- 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