The information content of interest-rate option prices
Fabio Fornari, Carlo Monticelli (1998)
Journal de la société française de statistique
Similarity:
Fabio Fornari, Carlo Monticelli (1998)
Journal de la société française de statistique
Similarity:
Faicel Hnaien, Alexandre Dolgui, Mohamed Louly (2010)
Control and Cybernetics
Similarity:
Alejandro Balbás (2007)
RACSAM
Similarity:
Alejandro Balbás, Raquel Balbás (2009)
RACSAM
Similarity:
Mustafa Ç. Pınar (2010)
ESAIM: Control, Optimisation and Calculus of Variations
Similarity:
Motivated by the observation that the gain-loss criterion, while offering economically meaningful prices of contingent claims, is sensitive to the reference measure governing the underlying stock price process (a situation referred to as ambiguity of measure), we propose a gain-loss pricing model robust to shifts in the reference measure. Using a dual representation property of polyhedral risk measures we obtain a one-step, gain-loss criterion based theorem of asset pricing under...
Alina Kondratiuk-Janyska, Marek Kałuszka (2006)
Control and Cybernetics
Similarity:
Remigijus Leipus, Alfredas Račkauskas (1999)
Applicationes Mathematicae
Similarity:
We consider multidimensional tree-based models of arbitrage-free and path-independent security markets. We assume that no riskless investment exists. Contingent claims pricing and hedging problems in such a market are studied.
Antonio Heras Martínez, Ana García Aguado (1998)
Revista de la Real Academia de Ciencias Exactas Físicas y Naturales
Similarity:
In this article we discuss several alternative formulations for Stochastic Goal Programming. Only one of these models, which is a particular case of the Stochastic Programs with Recourse, is also compatible with Bayesian Decision Theory. Moreover, it is posible to approximate its solutions by means of an iterative algorithm.