Results 51 to 60 of about 12,937,663 (263)
Abstract and Applied Analysis, 2014 We study the pricing of American options in an incomplete market in which the dynamics of the underlying risky asset is driven by a jump diffusion process with stochastic volatility. By employing a risk-minimization criterion, we obtain the Radon-Nikodym
Shuang Li +3 more
doaj +1 more source
Bounds and robust hedging of the American option [PDF]
The value of an American option depends on the information that the holder will acquire over the option’s life. Much of the literature makes restrictive assumptions about information revelation – for example that the underlying price process is Markov ...
Neuberger, Anthony
core
Engineering IL‐4 resistant proinflammatory human myeloid cells for cancer immunotherapy
Molecular Oncology, EarlyView.We developed a scalable workflow to generate proinflammatory human myeloid cells. CRISPR/Cas9‐edited CD34+ hematopoietic stem and progenitor cells were expanded and differentiated with M‐CSF. Deletion of STAT6 or STAT6/NFKB1 enhanced macrophage proinflammatory gene expression and cytokine secretion in the presence of IL‐4 while maintaining antibody ...
Theresa Barberi, Alan D. Friedman
wiley +1 more source
Two Stochastic Volatility Processes - American Option Pricing [PDF]
In this paper we consider the pricing of an American call option whose underlying asset dynamics evolve under the influence of two independent stochastic volatility processes of the Heston (1993) type.
Jonathan Ziveyi, Carl Chiarella
core
Molecular characterization of covRS mutations in M1UK Streptococcus pyogenes
FEBS Open Bio, EarlyView.Group A Streptococcus (GAS) acquires covRS mutations driving a hypervirulent bacterial state, frequently associated with invasive disease‐like necrotizing fasciitis. We demonstrate that the newly emerged M1UK GAS lineage can also acquire these mutations.
Jarrad Pritchard +12 more
wiley +1 more source
Supervised Machine Learning with Control Variates for American Option Pricing
Foundations of Computing and Decision Sciences, 2018 In this paper, we make use of a Bayesian (supervised learning) approach in pricing American options via Monte Carlo simulations. We first present Gaussian process regression (Kriging) approach for American options pricing and compare its performance in ...
Mu Gang +3 more
doaj +1 more source
Efficient computation of option price sensitivities for options of American style [PDF]
No front-office software can survive without providing derivatives of option prices with respect to underlying market or model parameters, the so called Greeks.
Wallner, Christian, Wystup, Uwe
core
Inter-American Development Bank Annual Report 2022: Financial Statements
, 2023 This report is the second of two volumes which together constitute the Inter-American Development Bank\u27s 2022 Annual Report. This report contains the management\u27s discussion and analysis of the Bank\u27s ordinary capital and financial ...
Inter-American Development Bank
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Evaluating the involvement of autolysosomes in the nuclear translocation of fluorescent proteins
FEBS Open Bio, EarlyView.Endogenously expressed fluorescent proteins can be degraded by autophagy and transported to cell nuclei via the nuclear pore complex. But in some cell lines, for example, HeLa cells which are positive for immunoreactivity of a receptor ligand, such as UCN I, in cell nuclei, fusion of autolysosome with the nuclear envelope is involved in the nuclear ...
Keiichi Ikeda
wiley +1 more source
A Simple Numerical Method for Pricing an American Put Option
Journal of Applied Mathematics, 2013 We present a simple numerical method to find the optimal exercise boundary in an American put option. We formulate an intermediate function with the fixed free boundary that has Lipschitz character near optimal exercise boundary.
Beom Jin Kim, Yong-Ki Ma, Hi Jun Choe
doaj +1 more source