18 results with keyword: 'martingale approach to pricing perpetual american options'
Black-Scholes formula; option-pricing theory; equivalent martingale measure; Esscher transform; perpetual American call option; perpetual American put option; perpetual
N/A
Ford and Rockefeller foundations, to transplant in Chile an economic ideology of free market. competition surpassed the strategists’ own expectations: a country that was
N/A
KEYWORDS: Ship-recycling, Hong Kong Convention, Basel Convention, Indonesia, Inventory Hazardous Material, Ship Recycling Facility... Table
N/A
Sustained efficacy with low and similar rates of virologic failures in second year observed with rilpivirine (RPV) versus efavirenz (EFV) plus
N/A
If (i) prevails, you should purchase the option, adopt an optimal exercise policy and adopt a trading strategy that is equivalent to selling the security with payoff Y τ ∗ (t).. 12
N/A
This thesis, taking the case of the perpetual down-and-out call option for ex- ample, discusses a stochastic volatility model for pricing perpetual American barrier options where
N/A
The purpose of this article is to give a brief description to the foresight as a technology of anticipation and identification of the most promising points in the regional
N/A
the production, processing and handling of coffee. It is not certain whether OTA-producing fungi can infect coffee fruits and grow to 206 produce OTA still on the
N/A
From five termite mounds, five grazing lawns and five control sites, we collected composite soil samples, mixed the soil of each category separately, distributed each composite
N/A
With these definitions from the optimal stopping literature in mind, we note that the problem of pricing a perpetual American option and determining the optimal stopping strategy
N/A
More recently, Guo and Zervos [61] derived solutions for discounted optimal stopping problems related to the pricing of perpetual American options with certain payoff
N/A
provided or still being prepared for the reprocessing of spent fuel elements and the disposal of their wastes or the storage without prior reprocessing. When demonstrating
N/A
More recently, Guo and Zervos [17] derived solutions for discounted optimal stopping problems related to the pricing of perpetual American options with certain payoff
N/A
While the practice of sacred chant in communist Romania was carried out chiefly within ecclesiastical enclaves, 6 musicological research was entirely super- vised by a lay
N/A
Based on this dual characterization of the price function, we use Monte Carlo simulation and an initial approximation to the value function to construct tight upper and lower bounds
N/A
also consider the pricing of the extremum options for the two risky-assets types. Elliott and Chan [8] obtained a closed-from solution for perpetual American options whose
N/A
Citywide technical adjustments made in the "Baseline Phase" reflect changes due to inflation, central cost allocations, retirement, healthcare, workers' compensation,
N/A