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广东工业大学自动化学院国际贸易实务电子课件Unit 8 Pricing。
广东工业大学经济与贸易学院国际贸易实务英文课件Unit8 Pricing。
As both a regulator and an academic, Fred Kahn argued that end-use electricity consumers should face prices that reflect the time-varying marginal costs of generating electricity. This has been very s...
A method for pricing American options using semi-infinite linear programming
optimal stopping excessive functions upper bounds semiinfinite linear programming
2011/3/30
We introduce a new approach for the numerical pricing of American options. The main idea is to choose a finite number of suitable excessive functions (randomly) and to find the smallest majorant of th...
Utility Indifference Pricing: A Time Consistent Approach
Time consistency time inconsistent control incomplete market utility indifference price
2011/3/23
This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute ...
On the Use of Policy Iteration as an Easy Way of Pricing American Options
Policy Iteration Pricing American Options
2011/1/4
When using finite differences or finite elements for American option pricing, one usually has to solve what is known as a discrete linear complementarity problem (LCP). Widely used methods for solving...
American Options Pricing under Stochastic Volatility: Approximation of the Early Exercise Surface and Monte Carlo Simulations
American Options Pricing Stochastic Volatility
2010/10/21
The aim of this study was to develop methods for evaluating the American-style option prices when the volatility of the underlying asset is described by a stochastic process. As part of this problem ...
Consistent Pricing and Hedging of an FX Options Book
foreign exchange options market uncertain Black-Scholes parameters
2009/5/7
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 leas...
Pricing Path-Dependent Options with Jump Risk via Laplace Transforms
jump diffusion American options barrier and lookback options
2009/5/7
We present analytical solutions for two-dimensional Laplace transforms of barrier option prices, as well as an approximation based on Laplace transforms for the prices of finite-time horizon American...
A path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models
integral option pricing formulas applications stochastic volatility interest rate models
2010/12/20
We present a path integral method to derive closed-form solutions for option prices in a stochastic volatility model. The method is explained in detail for the pricing of a plain vanilla option. The f...
Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model
Option pricing stochastic volatility exponential Ornstein-Uhlenbeck model
2010/12/17
We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein-Uhlenbeck model. The random diffusion model proposed ...
Convex pricing by a generalized entropy penalty
Convex pricing generalized entropy penalty
2010/12/17
In an incomplete Brownian-motion market setting, we propose a convex monotonic pricing functional for nonattainable bounded contingent claims which is compatible with prices for attainable claims. The...
Consistent price systems and face-lifting pricing under transaction costs
Consistent price systems face-lifting pricing transaction costs
2010/12/17
In markets with transaction costs, consistent price systems play the same role as martingale measures in frictionless markets. We prove that if a continuous price process has conditional full support...
On Agents' Agreement and Partial-Equilibrium Pricing in Incomplete Markets
Agents' Agreement Partial-Equilibrium Pricing Incomplete Markets
2010/12/17
We consider two risk-averse financial agents who negotiate the price of an illiquid indivisible contingent claim in an incomplete semimartingale market environment. Under the assumption that the agent...
Nonparametric Pricing of Interest Rate Derivative Securities
Nonparametric Pricing Interest Rate Derivative Securities
2014/3/13
Nonparametric Pricing of Interest Rate Derivative Securities.