18 results with keyword: 'option pricing model with stochastic exercise price'
By changing basic assumption of William Margrabe exchange option pricing model to the assumption that jump process is count process that more general than Poisson process.. It
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In 2012, Canadian private P&C insurers paid out $14.7 billion in net claims incurred to policyholders for all types of auto insurance coverage: third-party liability,
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Since the signing of the agreement, both sides have taken forward a number of collaboration initiatives, including setting up a new joint funding scheme for applied R&D
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It first works on the x -coordinates in a model where variables are rectangles and values are x -coordinate lo- cations, using dynamic variable ordering by area and a constraint
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theoretical value theoretical value pricing model exercise price time to expiration underlying price interest rate volatility (dividends) pricing model exercise price time to
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The study permits to obtain closed form solution for option pricing with stochastic volatility by assuming nor- mal distribution obtained by the properties of the bivariate
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‘The romance of human resource management and business performance, and the case for
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In the present study, an anti-HSV Hu-mAb ( mAb#33 ) was isolated and its different formats ( Fab#33, scFv#33, IgG#33 ) were tested for their ability to inhibit virus infection
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The effects of further reductions in milk production decided in December 1986 and covering the years 1987/88 and 1988/89 are tangible: the number of dairy cows fell once again
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The effects of further reductions in milk production decided in December 1986 and covering the years 1987/88 and 1988/89 are tangible: the number of dairy cows fell once again
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Analytic approximation formulae for these two exotic options in fast mean-reverting stochastic volatility model are derived according to the method of asymptotic expansion which
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Option prices were simulated based on three incomplete option price models: stochastic volatility model, jump diffusion model, and stochastic volatility with concurrent jumps in
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The comparison between models in the SV class are reported in the on-line Appendix. SV-LHARG consistently shows the best option pricing performance among the models and, for
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Prime Brokerage Services, Market Data Services, Market Data Operations, Reference Data Strategy, Reference Data Quality & Operations, Client Data Services, Data
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An alternative option pricing model is proposed, in which the asset prices follow the jump-diffusion model with square root stochastic volatility.. The stochastic volatility
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Generally, the standards con- cluded that the following factors should be considered by applying an employee stock option pricing model: exercise price of the option (X),
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• Concentrating Solar Power Commercial Application Study: Reducing Water Consumption of Concentrating Solar. Power Electricity Generation Report to
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