Results 11 to 20 of about 161 (92)

Approximate Bayesian Computations to fit and compare insurance loss models [PDF]

, 2021
International audienceApproximate Bayesian Computation (ABC) is a statistical learning technique to calibrate and select models by comparing observed data to simulated data.
Goffard, Pierre-Olivier, Laub, Patrick
core   +2 more sources

Parametric inference for diffusions observed at stopping times

Electronic Journal of Statistics, 2020
In this paper we study the problem of parametric inference for multidimensional diffusions based on observations at random stopping times. We work in the asymptotic framework of high frequency data over a fixed horizon.
E. Gobet, Uladzislau Stazhynski
semanticscholar   +1 more source

American Parisian options [PDF]

, 2006
Parisian options, American options, Excursions, G12, G13, C61, C65, 60G40, 62L15, 60J65,
Marc Chesney, Chesney, Marc, Gauthier, Laurent, Laurent Gauthier   +3 more
core   +1 more source

THE DENSITY OF THE PROCESS OF COLAESCING RANDOM WALKS

, 2015
We study the density of the process of coalescing random walks starting from Z at time 0, where the random walk kernel associated to this model has finite second moment. It is shown that the density equals the survival probability of voter model with the
S. Belhaouari
semanticscholar   +1 more source

The Optimal Mean–Variance Selling Problem With Finite Horizon

Mathematical Finance
The optimal mean–variance selling problem seeks to determine a dynamically optimal stopping time in the nonlinear problem , where is a geometric Brownian motion with strictly positive drift, the supremum is taken over stopping times of , and is a ...
Peter D. Johnson, J. L. Pedersen, Goran Peskir   +2 more
semanticscholar   +1 more source

Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates

, 2010
Bermudan options, Nonparametric regression, Boundary condition, Suboptimal stopping rules, 62G08, 65C05, 60G40, G10, G12, G13,
Denis Belomestny, Belomestny, Denis
core   +1 more source

Sufficiency in sequentially planned decision procedures

, 2003
Sampling plan, sequentially planned procedure, sufficient σ-fields, 62L10, 60G40,
Ibarrola Muñoz, Pilar, Fenoy Muñoz, María Del Mar, Pilar Ibarrola, M. Mar Fenoy   +3 more
core   +1 more source

OPTIMAL DOUBLE STOPPING OF A BROWNIAN BRIDGE [PDF]

, 2015
. We study optimal double stopping problems driven by a Brownian bridge. The objective is to maximize the expected spread between the payoffs achieved at the two stopping times.
Chen, Nan, Yamazak, Kazutoshi, Nan Chen, Kazutoshi Yamazaki, Surya, Budhi, Budhi A. Surya, Baurdoux, Erik J., Erik J. Baurdoux   +7 more
core   +1 more source

An Irregular Grid Approach for Pricing High Dimensional American Options [PDF]

, 2002
AMS classifications: 35R35; 60G40; 65D15 ...
Berridge, S.J., Schumacher, H., Schumacher, J.M., Berridge, S.   +3 more
core  

Robust pricing and hedging of double no-touch options

, 2009
Double no-touch option, Robust pricing and hedging, Skorokhod embedding problem, Weak arbitrage, Weak free lunch with vanishing risk, Model-independent arbitrage, 91B28, 60G40, 60G44, C60, G13,
Jan Obłój, Obloj, Jan, Alexander M. G. Cox, Cox, AMG, Alexander Cox, Cox, Alexander M. G.   +5 more
core   +1 more source