Search Results - subject:"Binomial Model"

Optimal partial hedging in a discrete-time market as a knapsack problem

Lindberg, Peter - In: Computational Statistics 72 (2010) 3, pp. 433-451

We present a new approach for studying the problem of optimal hedging of a European option in a finite and complete discrete-time market model. We consider partial hedging strategies that maximize the success probability or minimize the expected shortfall under a cost constraint and show that...

Persistent link: https://www.econbiz.de/10010759248

Replication and shortfall risk in a binomial model with transaction costs

Trivellato, Barbara - In: Computational Statistics 69 (2009) 1, pp. 1-26

expression for it, as well as for the optimal strategy, when the market model is a binomial model with proportional transaction …

Persistent link: https://www.econbiz.de/10010847594

Replication and shortfall risk in a binomial model with transaction costs

Trivellato, Barbara - In: Mathematical Methods of Operations Research 69 (2009) 1, pp. 1-26

expression for it, as well as for the optimal strategy, when the market model is a binomial model with proportional transaction …

Persistent link: https://www.econbiz.de/10010950023

Valuation of Barrier Options in a Black--Scholes Setup with Jump Risk

Leisen, Dietmar P.J. - University of Bonn, Germany - 1999

This paper discusses the pitfalls in the pricing of barrier options a pproximations of the underlying continuous processes via discrete lattice models. These problems are studied first in a Black-Scholes model. Improvements result from a trinomial model and a further modified model where price...

Persistent link: https://www.econbiz.de/10004968297

Semiparametric estimation for the dispersion parameter in the analysis of over- or underdispersed count data

Saha, Krishna - In: Journal of Applied Statistics 35 (2008) 12, pp. 1383-1397

This paper investigates several semiparametric estimators of the dispersion parameter in the analysis of over- or underdispersed count data when there is no likelihood available. In the context of estimating the dispersion parameter, we consider the double-extended quasi-likelihood (DEQL), the...

Persistent link: https://www.econbiz.de/10005492135

A probabilistic analysis of the trading the line strategy

Abramov, V.; Khan, M. K.; Khan, R. A. - In: Quantitative Finance 8 (2008) 5, pp. 499-512

We provide analytic models for which the appropriate statistics of the trading the line strategy, Nh, can be derived in closed form. In particular, we provide closed-form expressions concerning the average duration of the open position, E(Nh), the variance of the open duration, Var(Nh), the...

Persistent link: https://www.econbiz.de/10005495731

THE LEAST COST SUPER REPLICATING PORTFOLIO IN THE BOYLE–VORST MODEL WITH TRANSACTION COSTS

CHEN, GUAN-YU; PALMER, KEN; SHEU, YUAN-CHUNG - In: International Journal of Theoretical and Applied … 11 (2008) 01, pp. 55-85

Boyle and Vorst work in the framework of the binomial model and derive self-financing strategies perfectly replicating … for any contingent claim in a one-period binomial model. By using the fundamental theorem of linear programming, we show … two-period binomial model. As an application of our results, we give an example in which we compute the least cost super …

Persistent link: https://www.econbiz.de/10004971799

Determining heterogeneous behavior for theater attendance

Ateca-Amestoy, Victoria - In: Journal of Cultural Economics 32 (2008) 2, pp. 127-151

Persistent link: https://www.econbiz.de/10005673660

Antidumping Procedures and Macroeconomic Factors: A Comparison between the United States and the European Union

This paper aims at extending some recent publications about the relationship between antidumping filings and macroeconomic factors by comparing the United States (US) and the European Union (EU), two major users of antidumping procedures. Results of our estimations confirm that the exchange rate...

Persistent link: https://www.econbiz.de/10005046640

Smooth convergence in the binomial model

Chang, Lo-Bin; Palmer, Ken - In: Finance and Stochastics 11 (2007) 1, pp. 91-105

Persistent link: https://www.econbiz.de/10005184381