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Displaying similar documents to “On mathematical finance”

Newsboy Problem: Viability of Optimal Initial Selling Price and Ordering Policies in the Presence of Exogenous Price Decline and Random Lead Time

Ningombam Sanjib Meitei, Snigdha Banerjee (2013)

RAIRO - Operations Research - Recherche Opérationnelle

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Analysis of empirical sales data lead us to consider newsboy model for four practical market conditions arising from the presence/absence of stochastic lead time and exogenous linear temporal decline in selling price when distribution of the stochastic demand depends upon initial selling price. Viability of the solutions is discussed for three strategies of obtaining optimal initial selling price and/or ordering quantity. Numerical studies are conducted to assess the effects of lead...

Using Monte Carlo Methods to Evaluate Sub-Optimal Exercise Policies for American Options

Alobaidi, Ghada, Mallier, Roland (2002)

Serdica Mathematical Journal

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∗This research, which was funded by a grant from the Natural Sciences and Engineering Research Council of Canada, formed part of G.A.’s Ph.D. thesis [1]. In this paper we use a Monte Carlo scheme to find the returns that an uninformed investor might expect from an American option if he followed one of several näıve exercise strategies rather than the optimal exercise strategy. We consider several such strategies that an ill-advised investor might follow. We also consider...