Results 41 to 50 of about 90 (67)

A semi‐Lagrangian ε$$ \varepsilon $$‐monotone Fourier method for continuous withdrawal GMWBs under jump‐diffusion with stochastic interest rate

Numerical Methods for Partial Differential Equations, Volume 40, Issue 3, May 2024.
Abstract We develop an efficient pricing approach for guaranteed minimum withdrawal benefits (GMWBs) with continuous withdrawals under a realistic modeling setting with jump‐diffusions and stochastic interest rate. Utilizing an impulse stochastic control framework, we formulate the no‐arbitrage GMWB pricing problem as a time‐dependent Hamilton‐Jacobi ...
Yaowen Lu, Duy‐Minh Dang
wiley   +1 more source

On the solution of games with arbitrary payoffs: An application to an over‐the‐counter financial market

International Journal of Finance &Economics, Volume 29, Issue 2, Page 1877-1895, April 2024.
Abstract This paper defines a variety of game theoretic solution concepts in the language of soft set theory. We begin by defining the Nash equilibrium in pure strategies. We assume that the gains of the players are totally ordered and non‐desirable alternatives are absent. Moreover, we introduce the notions of strong and semi‐strong utility. These two
Iraklis Kollias, John Leventides, Vassilios G. Papavassiliou   +2 more
wiley   +1 more source

How Integrated are Credit and Equity Markets? Evidence from Index Options

The Journal of Finance, Volume 79, Issue 2, Page 949-992, April 2024.
ABSTRACT We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit‐risk model with stochastic volatility and jumps using new results for pricing compound options via multivariate affine transform analysis. The
PIERRE COLLIN‐DUFRESNE, BENJAMIN JUNGE, ANDERS B. TROLLE   +2 more
wiley   +1 more source

Lie Symmetry Analysis for the Fractal Bond‐Pricing Model of Mathematical Finance

Journal of Mathematics, Volume 2024, Issue 1, 2024.
The classical bond‐pricing models, as important financial tools, show strong vitality in bond pricing. However, these models also expose their theoretical defects, which leads to inconsistencies with the actual observation results and usually causes the theoretical prices of bonds to be lower than the actual market prices in the financial market.
Chao Yue, Chuanhe Shen, M. M. Bhatti
wiley   +1 more source

Properties, Bounds, and Estimation of Rényi Entropy in Consecutive k‐out‐of‐n:G Systems

Journal of Mathematics, Volume 2024, Issue 1, 2024.
This study investigates the Renyi entropy properties of consecutive k‐out‐of‐n : G systems. Initially, a formula for the Renyi entropy of the lifetime of a consecutive k‐out‐of‐n:G system is derived, offering a thorough insight into its Renyi entropy characteristics.
Mansour Shrahili, Antonio Di Crescenzo
wiley   +1 more source

Application of the Esscher Transform to Pricing Forward Contracts on Energy Markets in a Fuzzy Environment. [PDF]

Entropy (Basel), 2023
Nowak P, Pawłowski M.
europepmc   +1 more source

LEAST SQUARES ESTIMATORS OF DRIFT PARAMETER FOR DISCRETELY OBSERVED FRACTIONAL VASICEK-TYPE MODEL

International Journal of Advanced Research
We study the drift parameter estimation problem for a fractional Vasicek-typemodel X:={X_t,t⩾0}, that is defined as dX_t=θ(µ+X_t)dt+dB_t^H, t⩾0 withunknown parameters θ>0 and µ∈ℝ, where {B_t^H,t⩾0}is a fractional Brownianmotion of Hurst index H ∈]0, 1 ...
Maoudo Faramba Balde, Bakary Kourouma, Mamadou Saliou Bahand Abdoulaye Mendy   +2 more
openaire   +1 more source

Pricing geometric average Asian options in the mixed sub-fractional Brownian motion environment with Vasicek interest rate model

AIMS Mathematics
<p>Considering the characteristics of long-range correlations in financial markets, the issue of valuing geometric average Asian options is examined, assuming that the variations of the underlying asset follow the mixed sub-fractional Brownian motion, and the dynamics of short-term interest rate satisfies the mixed sub-fractional Vasicek model ...
Xinyi Wang, Chunyu Wang
openaire   +2 more sources

Tsallis Entropy in Consecutive <i>k</i>-out-of-<i>n</i> Good Systems: Bounds, Characterization, and Testing for Exponentiality. [PDF]

Entropy (Basel)
Alqefari AA, Alomani G, Kayid M.
europepmc   +1 more source

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Maximum Likelihood Estimation in the Mixed Fractional Vasicek Model

Journal of the Indian Society for Probability and Statistics, 2021
We investigate the asymptotic properties of the maximum likelihood estimator of the unknown parameters in the fractional Vasicek model driven by a mixed fractional Brownian motion.
B L S Prakasa Rao
openaire   +3 more sources