Search Results - subject:"Binomial tree"

Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations

Hürlimann, Werner - In: Decisions in Economics and Finance 35 (2012) 2, pp. 171-202

The recombining binomial tree approach, which has been initiated by Cox et al. (J Financ Econ 7: 229–263, <CitationRef … amortized fixed and variable rate mortgage prepayment option. We consider the simplified binomial tree approximation to … Math 39(1): 9, <CitationRef CitationID="CR61">2009</CitationRef>) with its binomial tree counterpart. With respect to the …

Persistent link: https://www.econbiz.de/10010993480

Determination of the effect of operating cost uncertainty on mining project evaluation

Dehghani, Hesam; Ataee-pour, Majid - In: Resources Policy 37 (2012) 1, pp. 109-117

Mining projects are complex businesses that demand constant risk assessment. This is because several kinds of uncertainties influence the value of a mine project, typically. These uncertainties may be classified as exploration uncertainties, economic uncertainties and engineering uncertainties....

Persistent link: https://www.econbiz.de/10010574978

Estensione della tecnica degli alberi bi/tri-nominali ad alberi N-nomiali. Applicazione ai processi diffusivi con salto

Corradini, Massimiliano - Dipartimento di Economia, Università degli Studi di Roma 3 - 2004

Nel presente articolo è proposta un'estensione della tecnica degli alberi bi/tri-nomiali, largamente usata per la valutazione di titoli derivati, ad una tecnica basata sulla costruzione di alberi N-nomiali, con N intero arbitrario. Il vantaggio di tale tecnica consiste essenzialmente in 1)...

Persistent link: https://www.econbiz.de/10005405028

Johnson binomial trees

Simonato, Jean-Guy - In: Quantitative Finance 11 (2011) 8, pp. 1165-1176

Rubinstein developed a binomial lattice technique for pricing European and American derivatives in the context of skewed and leptokurtic asset return distributions. A drawback of this approach is the limited set of skewness and kurtosis pairs for which valid stock return distributions are...

Persistent link: https://www.econbiz.de/10009214979

On the pricing of single premium variable annuities with periodic fees and periodic cost of insurance using option pricing techniques

Poufinas, Thomas - In: International Journal of Financial Markets and Derivatives 2 (2011) 3, pp. 180-194

The pricing of a series of products that combine insurance with investments, known as variable annuities, is considered. Given that there is a single premium instalment, then the death benefit at the time of death is equal to the maximum between the fund value and the sum assured. We have...

Persistent link: https://www.econbiz.de/10010670197

Stochastics for the worst case: distributions and risk measures for minimal returns

Mihai, Mihnea-Stefan - EconWPA - 2003

Distributions for returns are used to compute the capital charge for portfolios in investment banks. The mainstream definition of returns is based on closing prices and neglects the important effects of intraday trading activity on the losses . In this paper we introduce ''minimal returns'', a...

Persistent link: https://www.econbiz.de/10005561067

Finanzderivate mit MATLAB® : Mathematische Modellierung und numerische Simulation

Günther, Michael - 2010 - 2., überarbeitete und erweiterte Auflage

Persistent link: https://www.econbiz.de/10008756837

American Option Valuation: Implied Calibration of GARCH Pricing-Models

Weber, Michael; Prokopczuk, Marcel - Henley Business School, University of Reading - 2010

process. We propose the usage of Rubinstein's Edgeworth binomial tree (EBT) in contrast to simulation-based methods being …

Persistent link: https://www.econbiz.de/10008542373

An improved combinatorial approach for pricing Parisian options

Lyuu, Yuh-Dauh; Wu, Cheng-Wei - In: Decisions in Economics and Finance 33 (2010) 1, pp. 49-61

Persistent link: https://www.econbiz.de/10008552394

Finanzderivate mit MATLAB® : Mathematische Modellierung und numerische Simulation

Günther, Michael - 2010 - 2., überarbeitete und erweiterte Auflage

In der Finanzwelt ist der Einsatz von Finanzderivaten zu einem unentbehrlichen Hilfsmittel zur Absicherung von Risiken geworden. Dieses Buch richtet sich an Studierende der (Finanz-) Mathematik und der Wirtschaftswissenschaften im Hauptstudium, die mehr über Finanzderivate und ihre...

Persistent link: https://www.econbiz.de/10013517186