نتایج جستجو برای: control options
تعداد نتایج: 1410746 فیلتر نتایج به سال:
In this paper, we discuss statistical families P with the property that if the distribution of a random variable X is in P, then so is the distribution of ZwBi(X, p) for 0%p%1. (Here we take ZwBi(X, p) to mean that given XZx, Z is a draw from the binomial distribution Bi(x, p).) It is said that the family is closed under binomial subsampling. We characterize such families in terms of probabilit...
Here we model the price of a stock in discrete time by a Markov chain of the recursive form Sn+1 = SnYn+1, n ≥ 0, where the {Yi} are iid with distribution P (Y = u) = p, P (Y = d) = 1 − p. Here 0 < d < 1 + r < u are constants with r the risk-free interest rate ((1 + r)x is the payoff you would receive one unit of time later if you bought $x worth of the risk-free asset (a bond for example, or p...
Financial derivatives are contracts concerning rights and obligations to engage in future transactions on some underlying financial instrument. A major concern in financial markets is to compute an expected value of such contracts as a basis for trading decisions. The Cox, Ross and Rubinstein (CRR) binomial tree model is a popular discrete approach to such computations, which requires time quad...
some researches made in the field of agency problem issue, deal with the role of control systems regarding owners and managers. in this research the relationship between the two control mechanisms, namely the voluntary disclosure (external control mechanism) and outside directors (internal control mechanism), which are reductive of agency problems, has been studied. for this reason, a sample ...
The Backward Stochastic Differential Equation (BSDE) is a robust tool for financial derivatives pricing and risk management. In this paper, we explore the opportunity for parallel computing with BSDEs in financial engineering. A binomial tree based numerical method for BSDEs is investigated and applied to option pricing. According to the special structure of the numerical model, we develop a bl...
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