Results 1 to 10 of about 42 (42)
Demonstratio Mathematica, 2023 The use of multi-criteria decision-making (MCDM) methods to select the most appropriate one from a range of alternatives considering multiple criteria is a suitable methodology for making informed decisions.
Wang Zhiyuan +6 more
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Genetic Mean Reversion Strategy for Online Portfolio Selection with Transaction Costs
Mathematics, 2022 Online portfolio selection (OLPS) is a procedure for allocating portfolio assets using only past information to maximize an expected return. There have been successful mean reversion strategies that have achieved large excess returns on the traditional ...
Seung-Hyun Moon, Yourim Yoon
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About the valuation of American option under Black-Scholes model : a numerical study
Moroccan Journal of Pure and Applied Analysis, 2023 In the history of option pricing, Black-Scholes model is one of the most significant models. In this paper, we present a new numerical strategy for valuing American option pricing problems governed by Black-Scholes model (BSM). Numerical computations are
Malek R.
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A Partition of unity finite element method for valuation American option under Black-Scholes model
Moroccan Journal of Pure and Applied Analysis, 2021 In this paper, we present an intelligent combination of partition of unity (PU) and finite element (FE) methods for valuing American option pricing problems governed by the Black-Scholes (BS) model.
El kharrazi Zaineb +3 more
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Pricing American Put Option using RBF-NN: New Simulation of Black-Scholes
Moroccan Journal of Pure and Applied Analysis, 2022 The present work proposes an Artificial Neural Network framework for calculating the price and delta hedging of American put option. We consider a sequence of Radial Basis function Neural Network, where each network learns the difference of the price ...
Zaineb El Kharrazi +2 more
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The Moon Project: Where Management Meets Mathematics
Scientific African, 2021 This article studies a cost project problem identified here as the Moon project with mathematical laws. The Moon project is a program cost project regulated by certain constraints with principal variable N∈Z that survives on project h∈H only if it ...
S. Sani +4 more
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Open Mathematics, 2023 Recently, regime-switching option pricing based on fractional diffusion models has been used, which explains many significant empirical facts about financial markets better.
Wu Shuang +3 more
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An optimal transport-based characterization of convex order
Dependence Modeling, 2023 For probability measures μ,ν\mu ,\nu , and ρ\rho , define the cost functionals C(μ,ρ)≔supπ∈Π(μ,ρ)∫⟨x,y⟩π(dx,dy)andC(ν,ρ)≔supπ∈Π(ν,ρ)∫⟨x,y⟩π(dx,dy),C\left(\mu ,\rho ):= \mathop{\sup }\limits_{\pi \in \Pi \left(\mu ,\rho )}\int \langle x,y\rangle \pi \left(
Wiesel Johannes, Zhang Erica
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Mathematical modeling and optimal control of the impact of rumors on the banking crisis
Demonstratio Mathematica, 2022 The bank run phenomenon, mostly due to rumor spread about the financial health of given financial institutions, is prejudicious to the stability of financial systems.
Tadmon Calvin +1 more
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Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach
, 2021 This paper focuses on a dynamic multi-asset mean-variance portfolio selection problem under model uncertainty. We develop a continuous time framework for taking into account ambiguity aversion about both expected return rates and correlation matrix of ...
Wei, Xiaoli +5 more
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