Search Results - subject:"Rubinstein"

The impact of negative interest rates on the pricing of options written on equity : a technical study for a suitable estimate of early termination

Bottasso, Anna; Bruno, Lorenzo; Giribone, Pier Giuseppe - In: Risk management magazine 17 (2022) 3, pp. 25-41

used for the correct estimation of fair value: binomial lattice models (Cox-Ross-Rubinstein - CRR Tree, Leisen Reimer - LR …

Persistent link: https://www.econbiz.de/10013501175

An option contract model for leasing containers in the shipping industry

Gómez-Padilla, Alejandra; González-Ramírez, Rosa G.; … - In: Maritime economics & logistics 23 (2021) 2, pp. 328-347

Persistent link: https://www.econbiz.de/10012548006

Mejores estrategias de cobertura en acciones del MexDer durante el primer año de la COVID-19

Olivares Aguayo, Héctor Alonso; Medina Conde, Analaura - In: Análisis económico 36 (2021) 92, pp. 127-144

Persistent link: https://www.econbiz.de/10012659479

An option contract model for leasing containers in the shipping industry

Gómez-Padilla, Alejandra; González-Ramírez, Rosa G.; … - In: Maritime Economics & Logistics 23 (2020) 2, pp. 328-347

We propose an option contract model for the leasing of containers. In an option contract, the shipping company commits to order a quantity of containers from the leasing company and has the right to modify its order at a later stage, according to its actual requirement. Under this scheme, the...

Persistent link: https://www.econbiz.de/10014503788

A distance for probability spaces, and long-term values in Markov decision processes and repeated games

Renault, Jérôme; Venel, Xavier - 2017

Persistent link: https://www.econbiz.de/10012221221

On non-cooperative foundation and implementation of the Nash solution in subgame perfect equilibrium via Rubinstein's game

Duman, Papatya; Trockel, Walter - 2016

The alternating offers game due to Rubinstein (1982) had been used by Binmore (1980) and by Binmore et.al. (1986) to …-cooperative foundations first, in our Proposition, via weakly subgame perfect equilibria of a game that is a modification of Rubinstein's game …

Persistent link: https://www.econbiz.de/10011582516

On non-cooperative foundation and implementation of the Nash solution in subgame perfect equilibrium via Rubinstein's game

Duman, Papatya; Trockel, Walter - 2016

Persistent link: https://www.econbiz.de/10011412680

Pricing a Collateralized Derivative Trade with a Funding Value Adjustment

Hunzinger, Chadd B.; Labuschagne, Coenraad C.A. - In: Journal of Risk and Financial Management 8 (2015) 1, pp. 17-42

. In this paper, we extend the Cox, Ross and Rubinstein (CRR) discrete-time model to include collateral and FVA. We prove …

Persistent link: https://www.econbiz.de/10011133885

Pricing a collateralized derivative trade with a funding value adjustment

Hunzinger, Chadd B.; Labuschagne, Coenraad C. A. - In: Journal of Risk and Financial Management 8 (2015) 1, pp. 17-42

. In this paper, we extend the Cox, Ross and Rubinstein (CRR) discrete-time model to include collateral and FVA. We prove …

Persistent link: https://www.econbiz.de/10011843251

Pricing a collateralized derivative trade with a funding value adjustment

Hunzinger, Chadd B.; Labuschagne, Coenraad C. A. - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 17-42

. In this paper, we extend the Cox, Ross and Rubinstein (CRR) discrete-time model to include collateral and FVA. We prove …

Persistent link: https://www.econbiz.de/10011552865