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[PDF] Top 20 Option pricing in market models driven by telegraph processes with jumps

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Option pricing in market models driven by telegraph processes with jumps

Option pricing in market models driven by telegraph processes with jumps

... described by the GBM with constant tendency and volatility parameters, see, for example, the early works by Mandelbrot [M 63] and Mandelbrot and Taylor [MT ...sophisticated models have been ... See full document

122

A Jump Telegraph Model for Option Pricing

A Jump Telegraph Model for Option Pricing

... the option pricing models with jump diffusion processes, but these models are usually motivated by empirical ad- ...equacy. In addition, most of these models ... See full document

21

Métodos numéricos para la valoración de derivados complejos.

Métodos numéricos para la valoración de derivados complejos.

... component in the equity returns is introduced by [69] through a compound Poisson process, leading to Example (2), where λ denotes the jump intensity and m and c are the mean and standard deviation of the ... See full document

191

Trends in portfolio optimization in a new risk driven market era : a review and application of models for planners, investors and managers

Trends in portfolio optimization in a new risk driven market era : a review and application of models for planners, investors and managers

... costs in a portfolio ...included in portfolio modelling; to the contrary, ignoring it may translate into project delays and ...only in the financial cost dimension, but also those associated ... See full document

216

The book industry and the information technologies

The book industry and the information technologies

... deal with copyright infringement is to offer differentiated ...Related with the topic explained before of price discrimination, many companies use these techniques to compete against ...versions with ... See full document

42

The Carry Trade Risk Factor on U.S. Stock Returns

The Carry Trade Risk Factor on U.S. Stock Returns

... changes in the exchange-rate exactly offset interest rate ...countries with high interest rates should depreciate relative to countries with low interest rates in order to offset interest rate ... See full document

40

TítuloDrift free simulation and libor market models

TítuloDrift free simulation and libor market models

... show in [15] that lognormal forward swap rates are distributionally incompatible with lognormal forward Libor rates, and vicev- ...necessary. In this situation, by the change of numeraire ... See full document

200

Cognitive mechanisms related to preference for curvature

Cognitive mechanisms related to preference for curvature

... differences. In the first publication, we review most of the articles from the scientific literature related directly to preference for ...way in which curved stimuli directly interact with specific ... See full document

99

Bundling as a Leverage Device in Quality Differentiated Duopolies with Home Markets

Bundling as a Leverage Device in Quality Differentiated Duopolies with Home Markets

... markets. In this reciprocal duopoly firms now offer their services in a bundle - commonly known as Triple ...profitable pricing strategy for these services and if it can facilitate market ... See full document

43

Option Valuation: Intro (BKM 21.1)

Option Valuation: Intro (BKM 21.1)

... z Time value of option – the difference between the intrinsic value of the option and the actual market price of the option.. z Figure 21.1 illustrates call option value.[r] ... See full document

5

Improving the analysis of road pricing acceptability surveys by using hybrid models

Improving the analysis of road pricing acceptability surveys by using hybrid models

... Our results show that hybrid models are better suited to explaining the acceptability of a road pricing scheme by differ- ent groups of stakeholders than a separate analysis of the surv[r] ... See full document

15

HiperaldostPrim

HiperaldostPrim

... treated with low doses of a glucocorticoid (for instance, 2 mg of dexamethasone per ...normalize with glucocorticoid treatment, family screening should be implemented, preferably with measurement of ... See full document

7

A Bayesian Look at New Open Economy Macroeconomics: Comment

A Bayesian Look at New Open Economy Macroeconomics: Comment

... symmetric in terms of technology and tastes (although tastes are skewed toward local goods, and such home bias in preferences implies that purchasing power parity (PPP) would not hold even if the law of one ... See full document

10

Commodity and asset pricing models : an integration

Commodity and asset pricing models : an integration

... asset in the ...investment by any of the two parts entering the agreement [Bessembinder ...gained by an investor over a certain initial capital investment (because such an investment does not exist ... See full document

71

A critical analysis of the "innovators dilemma" : why should new technologies cause great firms to fail

A critical analysis of the "innovators dilemma" : why should new technologies cause great firms to fail

... subsequent market captured by entrants, even though in each case the incumbent firm also had the technology, which they failed to bring to ...supplanted by the 2.5-inch disk there was no ... See full document

32

Clustering of data streams with dynamic Gaussian mixture models: an IoT application in industrial processes

Clustering of data streams with dynamic Gaussian mixture models: an IoT application in industrial processes

... naïve Bayes classifier can help to find a good parameter configuration in an automatic way. 5) Regardless of the model used, the size of the training set is the most critical factor an[r] ... See full document

14

Eficacia y seguridad del implante de prótesis peneana maleable en pacientes con disfunción eréctil

Eficacia y seguridad del implante de prótesis peneana maleable en pacientes con disfunción eréctil

... 30. Bozkurt IH, Arslan B, Yonguc T, Kozacioglu Z, Degirmenci T, Gunlusoy B, et al. Patient and partner outcome of inflatable and semi-rigid penile prosthesis in a single institution. Int Braz J Urol. 2015 May-Jun; ... See full document

11

Aligning the supply chain to business strategy Alineando

Aligning the supply chain to business strategy Alineando

... product by consensus of the management team and the sales ...constrained by the requirement to order fabrics in minimum lot sizes—numbers determined by fabric mills—though customers could pay ... See full document

149

2 Knowledge, Institutions and Evolution in Economics

2 Knowledge, Institutions and Evolution in Economics

... neo-classical models of growth owe something to ...recast in a more contemporary context as the problem of distribution between wage and profi t, features as an important variable infl uencing the saving ... See full document

80

Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts

Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts

... recasts in this financial framework the model of the price process proposed in ...(inhomogeneous) telegraph process [14], which is a continuous time random motion with constant velocities ... See full document

21

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