Results 31 to 40 of about 66,313 (214)
Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes [PDF]
, 2013 Fast pricing of American-style options has been a difficult problem since it was first introduced to financial markets in 1970s, especially when the underlying stocks' prices follow some jump-diffusion processes. In this paper, we propose a new algorithm
Ye, Fan, Zhou, Enlu, Zhu, Helin
core
Journal of Forecasting, EarlyView.ABSTRACT We study the accuracy of a variety of parametric price duration‐based realized variance estimators constructed via various financial duration models and compare their forecasting performance with the performance of various nonparametric return‐based realized variance estimators.
Björn Schulte‐Tillmann +2 more
wiley +1 more source
Forecasting House Prices: The Role of Market Interconnectedness
Journal of Forecasting, EarlyView.ABSTRACT While the existing research uncovers interconnections between various housing markets, it largely ignores the question of whether such linkages can improve house price predictions. To address this issue, we proceed in two steps. First, we forecast disaggregated house price growth rates from Australia and China to determine whether ...
Zac Chen +3 more
wiley +1 more source
Journal of Measurement Science and Instrumentation, 2022 To improve the operation and maintenance management level of large repairable components, such as electrical equipment, large nuclear power facilities, and high-speed electric multiple unit (EMU), and increase economic benefits, preventive maintenance ...
HUANGFU Lanlan, ZHAO Yifan, SU Hongsheng
doaj
Weak Orlicz-Hardy Martingale Spaces [PDF]
, 2013 In this paper, several weak Orlicz-Hardy martingale spaces associated with concave functions are introduced, and some weak atomic decomposition theorems for them are established.
Jiao, Yong, Wu, Lian
core
Quadratic Hedging of American Options Under GARCH Models
Journal of Futures Markets, EarlyView.ABSTRACT American options are widely traded in financial markets, yet there is a scarcity of literature on hedging in incomplete markets. In this paper, we derive optimal hedging ratios and option values using Local Risk Minimization (LRM) and Global Risk Minimization (GRM) hedging strategies through dynamic programming.
Junmei Ma, Chen Wang, Wei Xu
wiley +1 more source
Convergence Rates in the Strong Law of Large Numbers for Martingale Difference Sequences
Abstract and Applied Analysis, 2012 We study the complete convergence and complete moment convergence for martingale difference sequence. Especially, we get the Baum-Katz-type Theorem and Hsu-Robbins-type Theorem for martingale difference sequence.
Xuejun Wang +3 more
doaj +1 more source
An equivalent quasinorm for the Lipschitz space of noncommutative martingales
Open Mathematics, 2020 In this paper, an equivalent quasinorm for the Lipschitz space of noncommutative martingales is presented. As an application, we obtain the duality theorem between the noncommutative martingale Hardy space hpc(ℳ){h}_{p}^{c}( {\mathcal M} ) (resp.
Ma Congbian, Ren Yanbo
doaj +1 more source
Freedman’s Inequality for Matrix Martingales [PDF]
, 2011 Freedman's inequality is a martingale counterpart to Bernstein's inequality. This result shows that the large-deviation behavior of a martingale is controlled by the predictable quadratic variation and a uniform upper bound for the martingale difference ...
Tropp, Joel A.
core +1 more source
Some properties on $G$-evaluation and its applications to $G$-martingale decomposition
, 2010 In this article, a sublinear expectation induced by $G$-expectation is introduced, which is called $G$-evaluation for convenience. As an application, we prove that any $\xi\in L^\beta_G(\Omega_T)$ with some $\beta>1$ the decomposition theorem holds and ...
M. Hu, S. He, S. Peng, YongSheng Song
core +1 more source