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 … simulations, a critical issue in path-dependent options. A market case based on the valuation of a Bonus Cap certificate has also …, introduced by Babsiri and Noel in 1998. Path dependent options, such as first and second-generation barrier and lookback options …

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

On the Guyon-Lekeufack volatility model

Nutz, Marcel; Riveros Valdevenito, Andrés - In: Finance and stochastics 28 (2024) 4, pp. 1203-1223

Persistent link: https://www.econbiz.de/10015130570

State as a path breaker? : Path-dependent behaviours and firm innovation: the moderating role of institutional forces

Chen, Guangpei; Wei, Jiang; Yang, Yang - In: Technology analysis & strategic management 36 (2024) 12, pp. 4232-4246

Persistent link: https://www.econbiz.de/10015120947

On Gaussian Markov processes and Polya processes

Fendick, Kerry; Whitt, Ward - In: Operations research letters : a journal of INFORMS … 52 (2024), pp. 1-5

Persistent link: https://www.econbiz.de/10015049109

Volatility is (mostly) path-dependent

Guyon, Julien; Lekeufack, Jordan - In: Quantitative finance 23 (2023) 9, pp. 1221-1258

Persistent link: https://www.econbiz.de/10014339908