Search Results - subject:"saddlepoint method"

Saddlepoint method for pricing European options under Markov-switching Heston's stochastic volatility model

Zhang, Mengzhe; Chan, Leunglung - In: Journal of Risk and Financial Management 15 (2022) 9, pp. 1-9

do not exist. By means of the saddlepoint method, an analytic approximation for European-style option price is presented …. The saddlepoint method gives an effective approximation to option prices under the Markov-switching Heston's stochastic …

Persistent link: https://www.econbiz.de/10014332596

Saddlepoint method for pricing European options under Markov-switching Heston’s stochastic volatility model

Zhang, Mengzhe; Chan, Leunglung - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-9

Persistent link: https://www.econbiz.de/10013399717

Saddlepoint approximations to option price in a regime-switching model

Zhang, Mengzhe; Chan, Leunglung - In: Annals of finance 12 (2016) 1, pp. 55-69

Persistent link: https://www.econbiz.de/10011555421

Bayesian and Adaptive Optimal Policy under Model Uncertainty

Svensson, Lars E.O.; Williams, Noah - Center for Financial Studies - 2007

Classification: E42, E52, E58 Keywords: Optimal Monetary Policy, Learning, Recursive Saddlepoint Method 1 Introduction We … perspective as well as arbitrary time-varying or time-invariant policy rules, using the recursive saddlepoint method of Marcet and … that, for given jt, this function is linear in Xt, zt, it, and "t. For the application of the recursive saddlepoint method …

Persistent link: https://www.econbiz.de/10005600452

Bayesian and adaptive optimal policy under model uncertainty

Svensson, Lars E. O.; Williams, Noah - 2006

We study the problem of a policymaker who seeks to set policy optimally in an economy where the true economic structure is unobserved, and policymakers optimally learn from their observations of the economy. This is a classic problem of learning and control, variants of which have been studied...

Persistent link: https://www.econbiz.de/10010298360

Bayesian and adaptive optimal policy under model uncertainty

Svensson, Lars E. O.; Williams, Noah - Center for Financial Studies - 2006

Persistent link: https://www.econbiz.de/10010958767