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Cumulative Prospect Theory (CPT) is rooted in behavioural psychology and has demonstrated to possess sufficient …
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In this paper we outline the Lagrangian constrained optimization method to solve complex problems subject to constraints. Firstly we summarize the Lagrangian constrained optimization routine. Secondly we outline a detailed implementation strategy. Thirdly and finally we provide example and solve...
Persistent link: https://www.econbiz.de/10013213151
In this paper, motivated by the approximation of Martingale Optimal Transport problems, we are interested in sampling methods preserving the convex order for two probability measures µ and ν on ℝ<sup>d</sup>, with ν dominating µ. When (X<sub>i</sub>)1≤i≤I (resp. (Y<sub>j</sub>)1≤j≤J ) are independent and...
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This paper solves a type of integral that is useful in approximation methods, especially in perturbation theory. This …
Persistent link: https://www.econbiz.de/10014256745
This paper studies the valuation of multiple American options in an incomplete market where asset prices follow Markov-modulated dynamics. The holder's optimal hedging and exercising strategies are determined from a utility maximization problem with optimal multiple stopping. We analyze the...
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