Search Results - subject:"Characteristic Function"

Core-stable rings in second price auctions with common values.

Orzach, Ram; Forges, Françoise - Université Paris-Dauphine - 2011

differential information. Journal of Mathematical Economics 37, 247–258], describe a cooperative games in characteristic function … form, in spite of the underlying strategic externalities. A ring is core-stable if the core of this characteristic function …

Persistent link: https://www.econbiz.de/10009493427

Core-stable rings in second price auctions with common values

Orzach, Ram; Forges, Françoise - Université Paris-Dauphine (Paris IX) - 2011

Persistent link: https://www.econbiz.de/10010708636

Characteristic functions in the Cheyette Interest Rate Model

Beyna, Ingo; Wystup, Uwe - Frankfurt School of Finance and Management - 2011

structure of the characteristic function. The characteristic function is determined by a model specific system of ODEs, that can …

Persistent link: https://www.econbiz.de/10009003551

Generalized Barndorff-Nielsen and Shephard model and discretely monitored option pricing

Yamazaki, Akira - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-34

Persistent link: https://www.econbiz.de/10011523937

A general closed form approximation pricing formula for basket and multi-asset spread options

Pellegrino, Tommaso - In: Journal of mathematical finance 6 (2016) 5, pp. 944-974

Persistent link: https://www.econbiz.de/10011658120

Capacity allocation games without an initial sequence

Hall, Nicholas G.; Liu, Zhixin - In: Operations research letters 44 (2016) 6, pp. 747-749

Persistent link: https://www.econbiz.de/10011622231

On the Heston model with stochastic correlation

Teng, Long; Ehrhardt, Matthias; Günther, Michael - In: International journal of theoretical and applied finance 19 (2016) 6, pp. 1-25

Persistent link: https://www.econbiz.de/10011572381

Option pricing in affine generalized Merton models

Bayer, Christian; Schoenmakers, John - In: Advanced modelling in mathematical finance : in honour …, (pp. 219-239). 2016

Persistent link: https://www.econbiz.de/10011800363

Core-stable rings in second price auctions with common values

Forges, Françoise; Orzach, Ram - 2010

, Haimanko, Orzach and Sela (Journal of Mathematical Economics, 2002), describe a cooperative game, in characteristic function … form, in spite of the underlying strategic externalities. A ring is core-stable if the core of this characteristic function …

Persistent link: https://www.econbiz.de/10010272420

On Sequential Calibration for an Asset Price Model with Piecewise Lévy Processes

Kawai, Reiichiro - 2010

We propose simple sequential calibration for an asset price model driven by piecewise Lévy processes, for which simulation methods and Greeks formulas are available. The proposed methods are easy to implement and consist of fitting a sequence of Lévy processes to a return series such that they...

Persistent link: https://www.econbiz.de/10009474908

A service of the

zbw