搜索结果: 76-90 共查到“理论经济学 Pricing”相关记录90条 . 查询时间(0.114 秒)
Existence & Regularity of Weak Solutions of Degenerate Parabolic PDE Models for the Pricing of Security Derivatives
Existence Regularity Weak Solutions Security Derivatives
2010/10/29
This work is focused on the solvability of initial-boundary value problems for degenerate parabolic partial differential equations that arise in the pricing of Asian options, and
on the investigation...
Strict Local Martingale Deflators and Pricing American Call-Type Options
Strict local martingales deflators American call options
2010/11/2
We solve the problem of pricing and optimal exercise of American call-type options in markets which do not necessarily admit an equivalent local martingale measure. This resolves an open question prop...
The number of multi-currency exotic options is large and growing. They naturally appeal to large international corporations who need to hedge their exposures in different currencies. Multi-currency op...
Nonlinear Pricing with Arbitrage: On the Role of Correlation
Nonlinear pricing weakly collusion-proof arbitrage correlated types
2010/7/2
In nonlinear pricing environment with correlated types, we characterize optimal selling mechanisms when buyers could form a coalition to coordinate their reports and to arbitrage on the goods. We find...
Nonlinear Pricing with Network Externalities and Countervailing Incentives
Nonlinear pricing externalities countervailing incentives type-dependent
2010/7/2
This paper considers the screening problem faced by a monopolist of a network good in a general setting. We demonstrate that the joint presence of asymmetric information and network externalities revi...
Risk-Neutral Pricing of Financial Instruments in Emission Markets
Risk-Neutral Pricing Financial Instruments Emission Markets
2010/12/13
We present a novel approach to the pricing of financial instruments in emission markets, for example, the EU ETS. The proposed hybrid model is positioned between existing complex full equilibrium mode...
Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model
pricing formulas diffusion models the exponential Vasicek model
2010/12/13
Path integral techniques for the pricing of financial options are mostly based on models that can be recast in terms of a Fokker-Planck differential equation and that, consequently, neglect jumps and...
The proposed model modifies option pricing formulas for the basic case of log-normal probability distribution providing correspondence to formulated criteria of efficiency and completeness. The model ...
Approximate formulae for pricing zero-coupon bonds and their asymptotic analysis
zero-coupon bonds asymptotic analysis
2010/12/13
We analyze analytic approximation formulae for pricing zero-coupon bonds in the case when the short-term interest rate is driven by a one-factor mean-reverting process with a volatility nonlinearly d...
Preferences, Lévy Jumps and Option Pricing
equilibrium option pricing recursive utility Levy jumps
2011/4/6
This paper derives an equilibrium formula for pricing European options and other contingent claims which allows incorporating impacts of several important economic variable on security prices includin...
A Nonparametric Approach to Derivative Asset Pricing
Derivative pricing European options nonparametric kernel estimation
2010/9/7
We utilize the method of Bertholon, Monfort and Pegoraro (2006) for pricing European call options based on nonparametric estimation of returns. Densities are estimated using kernel estimation on rando...
Pricing Private Health Insurance Products in China
Private health insurance products pricing health actuary
2007/5/11
In this paper an overview of how to price private health insurance products in China is given. In the beginning the Chinese private health insurance market and products are analyzed. Then the statisti...
Consistent Pricing and Hedging of an FX Options Book
foreign exchange options market uncertain Black-Scholes parameters
2010/12/7
In the foreign exchange (FX) options market away-from-the-money options are quite actively traded, and quotes for the same type of instruments are available everyday with very narrow spreads (at least...
Nonparametric option pricing under shape restrictions
State price density Kernel Local polynomials Regression Constraints Monotonicity Convexity
2014/3/13
Frequently, economic theory places shape restrictions on functional relationships between economic variables. This paper develops a method to constrain the values of the 2rst and second derivatives of...
Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling
Monte Carlo simulation extreme values Brownian Bridge multi-asset barrier option multi-variate joint distribution Fr´ echet bounds
2010/10/29
An efficient conditioning technique, the so-called Brownian Bridge simulation, has previously
been applied to eliminate pricing bias that arises in applications of the standard
discrete-time Monte C...