منابع مشابه
Some calculations for Israeli options
Recently Kifer (2000) introduced the concept of an Israeli (or Game) option. That is a general American-type option with the added possibility that the writer may terminate the contract early inducing a payment exceeding the holder's claim had they exercised at that moment. Kifer shows that pricing and hedging of these options reduces to evaluating an optimal stopping problem asso-caited with D...
متن کاملBinomial Approximations for Barrier Options of Israeli Style
We show that prices and shortfall risks of game (Israeli) barrier options in a sequence of binomial approximations of the Black–Scholes (BS) market converge to the corresponding quantities for similar game barrier options in the BS market with path dependent payoffs and the speed of convergence is estimated, as well. The results are new also for usual American style options and they are interes...
متن کاملPolicy Options: The Obama Administration and the Palestinian-Israeli Conflict
What are the assets available to the incoming Obama administration for resolving or at least reducing the intensity of the Palestinian-Israeli conflict? What liabilities and constraints will the next administration face and what opportunities might it attempt to exploit for this purpose? This document constitutes a first attempt by two experts— one Israeli, the other a Palestinian—to examine th...
متن کاملPolicy options for value added to different levels of production
This paper presents an analytic procedure for the value added to different production levels with different policy options. The approach is stochastic and thus provides a framework for informed decision-making on productivity growth under uncertainty conditions. The model was applied to data collected from a firm and re-sults recommend that the firm should redevelop if in diversification and sy...
متن کاملFurther generalization and numerical implementation of pseudo-time Schrödinger equations for quantum scattering calculations
We review and further develop the recently introduced numerical approach [Phys. Rev. Lett. 86, 5031, (2001)] for scattering calculations based on a so called pseudo-time Schrödinger equation, which is in turn a modification of the damped Chebyshev polynomial expansion scheme [J. Chem. Phys. 103, 2903, (1995)]. The method utilizes a special energy-dependent form for the absorbing potential in th...
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ژورنال
عنوان ژورنال: Stochastics and Stochastic Reports
سال: 2004
ISSN: 1045-1129
DOI: 10.1080/10451120412331313438