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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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Modeling Capital Market with Financial Signal Processing
Modeling Capital Market with Financial Signal Processing This paper discusses the theoretic ... market uncertainty and volatility highlighting the S&P 500 as an example. Arbitrage;Capital markets=Stock ...- 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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Market Forecasting and Trading Rules Based on Soft Computing Technologies
regarded as the three principal components (Shukla 2000 p. 406). 2 Following Zadeh (1994 p. 192), in this ... stock market indexes, like the Standard and Poor's (S&P) 500 stock index, Treasury bill rates, and net asset ...- 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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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