Search Results - subject:"path-dependent"

Did you mean: subject:"path-dependence" (2,140 results)

Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models

Fonseca, José da; Wong, Patrick - In: Insurance : mathematics and economics 123 (2025), pp. 1-14

Persistent link: https://www.econbiz.de/10015432101

The p-median problem with externalities

Chagas, Guilherme O.; Coelho, Leandro C.; Laporte, Gilbert - 2025

Persistent link: https://www.econbiz.de/10015550264

Randomized signature methods in optimal portfolio selection

Akyildirim, Erdinç; Gambara, Matteo; Teichmann, Josef; … - In: Quantitative finance 25 (2025) 2, pp. 197-216

Persistent link: https://www.econbiz.de/10015534084

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

Closed-form approximation of stock-based awards with moving-average vesting conditions

Michopoulos, Ioannis; Bougias, Alexandros; Tsekrekos, … - In: The journal of futures markets 45 (2025) 6, pp. 497-520

Persistent link: https://www.econbiz.de/10015464819

Pricing and calibration in the 4-factor path-dependent volatility model

Gazzani, Guido; Guyon, Julien - In: Quantitative finance 25 (2025) 3, pp. 471-489

Persistent link: https://www.econbiz.de/10015534109

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