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  • Search: subject:"Integral representation"
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Year of publication
Subject
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Integral representation 9 Optionspreistheorie 5 American put option 3 Analysis 3 Option pricing theory 3 Stochastic process 3 Stochastischer Prozess 3 integral representation method 3 American call option 2 Choquet's integral representation theorem 2 Diffusion 2 Free boundary 2 Lévy process 2 Martingales 2 Mellin transform 2 Modified Mellin transform 2 Parabolic equations 2 Power option 2 Theorie 2 Yosida-Hewitt decomposition 2 totally monotone games 2 Analytic functions 1 Analytic semigroups 1 Ball process 1 Birth process 1 Class L distributions or selfdecomposable distributions 1 Class U distributions or generalized s-selfdecomposable distributions 1 Coherent prevision 1 Completeness 1 Continuous time Markov-chain 1 Convex set 1 Derivat 1 Derivative 1 Derivatives 1 Duality 1 Dynamic completeness 1 Equilibrium 1 Finite additivity 1 Fluctuation-dissipation theorem 1 Functional integral representation 1
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Online availability
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Undetermined 10 Free 7
Type of publication
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Article 11 Book / Working Paper 8
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3 Working Paper 2
Language
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Undetermined 12 English 7
Author
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Frontczak, Robert 4 Schöbel, Rainer 4 Ciurlia, Pierangelo 3 Roko, Ilir 2 Rébillé, Yann 2 Barndorff-Nielsen, Ole E. 1 Christensen, Sören 1 Crisma, L. 1 Dimov, I.T. 1 Gigante, P. 1 Gurov, T.V. 1 Janardan, Konanur 1 Jurek, Zbigniew J. 1 Kramkov, Dmitry 1 Maejima, Makoto 1 Menoukeu-Pamen, Olivier 1 Millossovich, P. 1 Momeya, Romuald 1 Predoiu, Silviu 1 Rostiashvili, V.G. 1 Salminen, Paavo 1 Schwarz, Daniel C. 1
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Institution
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Wirtschaftswissenschaftlichen Fakultät, Eberhard-Karls-Universität Tübingen 2 Dipartimento di Economia, Università degli Studi di Roma 3 1 HAL 1 Maison des Sciences Économiques, Université Paris 1 (Panthéon-Sorbonne) 1 Society for Computational Economics - SCE 1
Published in...
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Tübinger Diskussionsbeiträge 4 Stochastic Processes and their Applications 2 Cahiers de la Maison des Sciences Economiques 1 Computational Economics 1 Computing in Economics and Finance 2005 1 Departmental Working Papers of Economics - University 'Roma Tre' 1 Finance and stochastics 1 International journal of theoretical and applied finance 1 Mathematics and Computers in Simulation (MATCOM) 1 Mathematics and financial economics 1 Physica A: Statistical Mechanics and its Applications 1 Post-Print / HAL 1 Statistical Methods and Applications 1 Statistical Papers / Springer 1 Statistics & Probability Letters 1
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Source
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RePEc 14 ECONIS (ZBW) 3 EconStor 2
Showing 11 - 19 of 19
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A Yosida-Hewitt decomposition for totally monotone games on locally compact sigma-compact topological spaces
Rébillé, Yann - HAL - 2005
We prove for totally monotone games defined on the set of Borel sets of a locally compact s-compact topological space a similar decomposition theorem to the famous Yosida-Hewitt's one for finitely additive measures. This way any totally monotone decomposes into a continuous part and a...
Persistent link: https://www.econbiz.de/10010750813
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A Yosida-Hewitt decomposition for totally monotone games on locally compact sigma-compact topological spaces.
Rébillé, Yann - Maison des Sciences Économiques, Université Paris 1 … - 2005
We prove for totally monotone games defined on the set of Borel sets of a locally compact sigma-compact topological space a similar decomposition theorem to the famous Yosida-Hewitt's one for finitely additive measures. This way any totally monotone decomposes into a continuous part and a...
Persistent link: https://www.econbiz.de/10005670960
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Semigroups of Upsilon transformations
Barndorff-Nielsen, Ole E.; Maejima, Makoto - In: Stochastic Processes and their Applications 118 (2008) 12, pp. 2334-2343
Upsilon transformations satisfying certain regularity conditions are shown to generate semigroups of such transformations. This is based on a general commutativity property of the Upsilon transformations, and uses log infinite divisibility. The existence of random integral representations of...
Persistent link: https://www.econbiz.de/10008874201
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A discrete distribution associated with a pure birth process
Janardan, Konanur - In: Statistical Papers 46 (2005) 4, pp. 587-597
Persistent link: https://www.econbiz.de/10008533746
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Valuation of American Continuous-Installment Options
Ciurlia, Pierangelo; Roko, Ilir - In: Computational Economics 25 (2005) 1, pp. 143-165
us to derive valuation formulas for American continuous-installment options using the integral representation method and …
Persistent link: https://www.econbiz.de/10005701734
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Alternative Characterizations of the European Continuous-Installment Option Valuation Problem
Roko, Ilir; Ciurlia, Pierangelo - Society for Computational Economics - SCE - 2005
, we formulate the pricing problem as a free boundary value problem and using the integral representation method we obtain …
Persistent link: https://www.econbiz.de/10005343002
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Estimates of the computational complexity of iterative Monte Carlo algorithm based on Green's function approach1Supported by the Ministry of Education, Science and Technology of Bulgaria under grants no. MM 449/94 and I 501/95 as well as by EC under INCO-Copernicus project no. 960237 – STABLE.1
Dimov, I.T.; Gurov, T.V. - In: Mathematics and Computers in Simulation (MATCOM) 47 (1998) 2, pp. 183-199
In this work an iterative Monte Carlo algorithm for solving elliptic boundary value problems is studied. The algorithm uses the local integral presentation by Green's function. The integral transformation kernel is obtained applying the adjoint operator on Levy's function. Such a kernel can be...
Persistent link: https://www.econbiz.de/10011050737
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A notion of coherent revision for arbitrary random quantities
Crisma, L.; Gigante, P.; Millossovich, P. - In: Statistical Methods and Applications 6 (1997) 3, pp. 233-243
Persistent link: https://www.econbiz.de/10008497262
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Newtonian versus Langevin dynamics: Example of ϕ4-model with infinite range interactions
Rostiashvili, V.G. - In: Physica A: Statistical Mechanics and its Applications 231 (1996) 4, pp. 575-587
The functional integral representation for the generating functional (GF) of the canonically averaged ensemble with an …
Persistent link: https://www.econbiz.de/10011058983
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