搜索结果: 16-30 共查到“理论经济学 Pricing”相关记录90条 . 查询时间(0.144 秒)
Binomial Tree Model for Convertible Bond Pricing within Equity to Credit Risk Framework
Binomial Tree Model Bond Pricing Credit Risk
2012/9/14
In the present paper we fill an essential gap in the Convertible Bonds pricing world by deriving a Binary Tree based model for valuation subject to credit risk. This model belongs to the framework kno...
Conditional sampling for barrier option pricing under the Heston model
Conditional sampling barrier option pricing Heston model
2012/9/14
We propose a quasi-Monte Carlo algorithm for pricing knock-out and knock-in barrier options under the Heston (1993) stochastic volatility model. This is done by modifying the LT method from Imai and T...
Pricing credit default swaps with bilateral value adjustments
Pricing credit default swaps bilateral value adjustments
2012/9/14
A three-dimensional extension of the structural default model with rms' values driven by correlated di usion processes is presented. Green's function based semi-analytical methods for solving the for...
A structural approach to pricing credit default swaps with credit and debt value adjustments
structural approach credit default credit and debt value adjustments
2012/9/14
A multi-dimensional extension of the structural default model with rms' values driven by di usion processes with Marshall-Olkin-inspired correlation structure is presented. Semi-analytical methods fo...
Pricing joint claims on an asset and its realized variance under stochastic volatility models
Volatility derivatives stochastic volatility models partial differential equations parabolic equations target volatility option.
2012/9/14
In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variation. This allows a pri...
From Minority Game to Black & Scholes pricing
Minority Game Agent-based models Option pricing Market calibration
2012/6/5
In this paper we study the continuum time dynamics of a stock in a market where agents behavior is modeled by a Minority Game with number of strategies for each agent S=2 and "fake" market histories. ...
No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs
arbitrage fundamental theorem of asset pricing transaction costs consistent pricing system liquidity dividends credit default swaps
2012/6/5
We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the no-arbitrage conditio...
Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices
dynamic coherent acceptability index conic finance dynamic coherent risk measures transaction costs dividend paying securities
2012/6/5
In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a versi...
Using high performance computing and Monte Carlo simulation for pricing american options
High performance computing NVidia CUDA GPGPU finance Monte Carlo American options
2012/6/5
High performance computing (HPC) is a very attractive and relatively new area of research, which gives promising results in many applications. In this paper HPC is used for pricing of American options...
Yield to maturity modelling and a Monte Carlo Technique for pricing Derivatives on Constant Maturity Treasury (CMT) and Derivatives on forward Bonds
interest rate bonds recovery rate survival probability hazard rate function yield to maturity CMS CMT
2012/4/28
This paper proposes a Monte Carlo technique for pricing the forward yield to maturity, when the volatility of the zero-coupon bond is known. We make the assumption of deterministic default intensity (...
On Pricing Basket Credit Default Swaps
Basket Credit Default Swaps Interacting Intensity Ordered Default Time Distribution Analytic Pricing Formula
2012/4/28
In this paper we propose a simple and efficient method to compute the ordered default time distributions in both the homogeneous case and the two-group heterogeneous case under the interacting intensi...
Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models
Continuous-time equilibrium exponential utility CAPM affine processes information based asset pricing implied volatility
2012/3/2
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of u...
Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
Semimartingale Martingale Stochastic integration Fundamental theorem of asset pricing Stochastic dimension
2011/12/28
The purpose of this paper is two-fold. First is to extend the notions of an n-dimensional semimartin-gale and its stochastic integral to a piecewise semimartingale of stochastic dimension. The propert...
Randomised Mixture Models for Pricing Kernels
Pricing kernel asset pricing, interest rate modelling yield curve randomised mixtures Lévy processes Esscher martingales weighted heat kernel Markov processes
2011/12/28
Numerous kinds of uncertainties may affect an economy, e.g. economic, political, and environmental ones. We model the aggregate impact by the uncertainties on an economy and its associated financial m...
The Pricing of Natural Resources in a Regional Economy
economic activity economic development initiatives natural resource
2011/10/23
Recent steps to decentralize government decision making have led to a rapid increase in the number of state-level economic development initiatives. One of the instruments used to attract economic acti...