Search Results - subject:"Path dependent"

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First and second generation lookback and barrier options : enhancing pricing accuracy through Conditional Monte Carlo

Giribone, Pier Giuseppe; Tropiano, Federico - In: Risk management magazine 19 (2024) 3, pp. 4-27

This paper addresses the challenges associated with pricing exotic options, specifically path-dependent ones, with a …, introduced by Babsiri and Noel in 1998. Path dependent options, such as first and second-generation barrier and lookback options … simulations, a critical issue in path-dependent options. A market case based on the valuation of a Bonus Cap certificate has also …

Persistent link: https://www.econbiz.de/10015371430

Political economy of development in the Arab republics : the state and socio-economic coalitions

Hatab, Shimaa - In: Economic history of developing regions 38 (2023) 3, pp. 281-304

Persistent link: https://www.econbiz.de/10014369542

Mismanaging diagnostic accuracy under congestion

Kremer, Mirko; de Véricourt, Francis - 2022

To study the effect of congestion on the fundamental trade-off between diagnostic accuracy and speed, we empirically test the predictions of a formal sequential testing model in a setting where the gathering of additional information can improve diagnostic accuracy, but may also take time and...

Persistent link: https://www.econbiz.de/10013174505

The seven-league scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations

Liu, Shuaiqiang; Grzelak, Lech A.; Oosterlee, Cornelis … - In: Risks 10 (2022) 3, pp. 1-27

We propose an accurate data-driven numerical scheme to solve stochastic differential equations (SDEs), by taking large time steps. The SDE discretization is built up by means of the polynomial chaos expansion method, on the basis of accurately determined stochastic collocation (SC) points. By...

Persistent link: https://www.econbiz.de/10013200937

The seven-league scheme : deep learning for large time step Monte Carlo simulations of stochastic differential equations

Liu, Shuaiqiang; Grzelak, Lech A.; Oosterlee, Cornelis … - In: Risks : open access journal 10 (2022) 3, pp. 1-27

Persistent link: https://www.econbiz.de/10013093086

Mismanaging diagnostic accuracy under congestion

Kremer, Mirko; Véricourt, Francis de - 2022

Persistent link: https://www.econbiz.de/10013169297

A discrete-time approach to evaluate path-dependent derivatives in a regime-switching risk model

Russo, Emilio - In: Risks 8 (2020) 1, pp. 1-22

This paper provides a discrete-time approach for evaluating financial and actuarial products characterized by path-dependent … description in all the regimes. The path-dependent feature is treated by computing representative values of the path-dependent … path-dependent financial and actuarial instruments. …

Persistent link: https://www.econbiz.de/10013200544

Option pricing incorporating factor dynamics in complete markets

Hu, Yuan; Shirvani, Abootaleb; Lindquist, W. Brent; … - In: Journal of Risk and Financial Management 13 (2020) 12, pp. 1-33

-Shiryaev-Yor invariance principles, we formulate a new binomial path-dependent pricing model for discrete- and continuous-time complete …

Persistent link: https://www.econbiz.de/10012611548

Option pricing incorporating factor dynamics in complete markets

Hu, Yuan; Shirvani, Abootaleb; Lindquist, W. Brent; … - In: Journal of risk and financial management : JRFM 13 (2020) 12/321, pp. 1-33

-Shiryaev-Yor invariance principles, we formulate a new binomial path-dependent pricing model for discrete- and continuous-time complete …

Persistent link: https://www.econbiz.de/10012403907

A discrete-time approach to evaluate path-dependent derivatives in a regime-switching risk model

Russo, Emilio - In: Risks : open access journal 8 (2020) 1/9, pp. 1-22

Persistent link: https://www.econbiz.de/10012204035