All a b c d e f g h i j k l m n o p q r s t u v w x y z Other

Previous Page 12 Next

Displaying 221 – 240 of 324

Showing per page

Optimality of the replicating strategy for American options

Marek Kociński (1999)

Applicationes Mathematicae

The aim of this paper is to study the problem of optimality of replicating strategies associated with pricing of American contingent claims in the Cox-Ross-Rubinstein model with proportional transaction costs. We show that a replication of the option is always possible. We give sufficient conditions for the existence of a replicating strategy which is optimal, and also show an example of an optimal replicating strategy that is not optimal in the global sense.

Optimization of Discrete-Time, Stochastic Systems

Papageorgiou, Nikolaos (1995)

Serdica Mathematical Journal

* This research was supported by a grant from the Greek Ministry of Industry and Technology.In this paper we study discrete-time, finite horizon stochastic systems with multivalued dynamics and obtain a necessary and sufficient condition for optimality using the dynamic programming method. Then we examine a nonlinear stochastic discrete-time system with feedback control constraints and for it, we derive a necessary and sufficient condition for optimality which we then use to establish the existence...

Option pricing in a CEV model with liquidity costs

Krzysztof Turek (2016)

Applicationes Mathematicae

The goal of this paper is to make an attempt to generalise the model of pricing European options with an illiquid underlying asset considered by Rogers and Singh (2010). We assume that an investor's decisions have only a temporary effect on the price, which is proportional to the square of the change of the number of asset units in the investor's portfolio. We also assume that the underlying asset price follows a CEV model. To prove existence and uniqueness of the solution, we use techniques similar...

Partially observed optimal controls of forward-backward doubly stochastic systems

Yufeng Shi, Qingfeng Zhu (2013)

ESAIM: Control, Optimisation and Calculus of Variations

The partially observed optimal control problem is considered for forward-backward doubly stochastic systems with controls entering into the diffusion and the observation. The maximum principle is proven for the partially observable optimal control problems. A probabilistic approach is used, and the adjoint processes are characterized as solutions of related forward-backward doubly stochastic differential equations in finite-dimensional spaces. Then, our theoretical result is applied to study a partially-observed...

Pricing rules under asymmetric information

Shigeyoshi Ogawa, Monique Pontier (2007)

ESAIM: Probability and Statistics

We consider an extension of the Kyle and Back's model [Back, Rev. Finance Stud.5 (1992) 387–409; Kyle, Econometrica35 (1985) 1315–1335], meaning a model for the market with a continuous time risky asset and asymmetrical information. There are three financial agents: the market maker, an insider trader (who knows a random variable V which will be revealed at final time) and a non informed agent. Here we assume that the non informed agent is strategic, namely he/she uses a utility function to...

Principal-agent approach to environmental improvements policies

Wojciech Szatzschneider, Teresa Kwiatkowska (2010)

Banach Center Publications

Successful solution to any environmental problem implies working with Knightian uncertainty that explicitly deals with decision making under conditions of unstructured randomness. A 'wild' type of randomness that we will never discern due to its unstable properties makes the assignment of corresponding probabilities impossible. For that reason, the consideration of general economical factors within cost/benefit analysis must fail. So, instead of governmental intervention and a cup and trade scheme,...

Problemas de control estocástico con información incompleta que admiten un proceso suficiente.

Javier Yáñez Gestoso (1986)

Trabajos de Investigación Operativa

Se centra el estudio en los problemas de control estocástico con información incompleta de parámetro discreto.Se define para estos problemas un parámetro suficiente para el proceso básico y se demuestra que la clase de controles basados en éste es esencialmente completa.Como caso particular se estudia el modelo lineal normal y se ve la relación que existe entre el proceso suficiente definido para este modelo y el filtro de Kalman.

Currently displaying 221 – 240 of 324