Error bounds and convergence for American put option pricing based on translation-invariant Markov chains
In: Industriemathematik und angewandte Mathematik
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In: Industriemathematik und angewandte Mathematik
In: Institute of Mathematical Economics Working Paper No. 513
SSRN
Working paper
In: Institute of Mathematical Economics Working Paper No. 499
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Working paper
In: Synthese: an international journal for epistemology, methodology and philosophy of science, Band 191, Heft 4, S. 701-723
ISSN: 1573-0964
In: Mathematical social sciences, Band 58, Heft 1, S. 8-14
In: Quantitative Finance, Band 8, Heft 5, S. 453-457
A valuation theory for derivatives on an underlying that is subject to multiple attractors is proposed, the economic justification being attraction-adjusted hedging. In non-critical regions -- outside the boundaries of the attractor regions -- a European option price can be viewed as a derivative on an underlying with a mean-reverting law, such as a commodity price, however with a different payoff function.
In: Mathematical social sciences, Band 64, Heft 1, S. 41-47
In: CESifo Working Paper Series No. 3946
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In: Revue française de sociologie, Band 1, Heft 2, S. 244