Mathematical and Statistical Methods for Actuarial Sciences and Finance
224 S. Muzzioli Romano, J.P., Shaikh, A.M., Wolf, M.: Formalized data snooping based on generalized error rates. Econometric Th ...
Binomial algorithms for the evaluation of options on stocks with fixed per share dividends Martina Nardon and Paolo Pianca Abstr ...
226 M. Nardon and P. Pianca proposed for the pricing of both European and American options on dividend paying stocks, which sugg ...
Binomial algorithms for the evaluation of options on stocks 227 ple dividends; this feature is very important for the pricing of ...
228 M. Nardon and P. Pianca of the underlying process, for American options the impact on the optimal exercise strategy is more ...
Binomial algorithms for the evaluation of options on stocks 229 merely replace relation (3) with CHHL(S 0 ,D,tD)=e−rtD ∫∞ d max{ ...
230 M. Nardon and P. Pianca Fig. 1.Non-recombining binomial tree after the dividend payment given by S ̃= { S−De−r(tD−i) i≤tD Si ...
Binomial algorithms for the evaluation of options on stocks 231 In this paper, we analyse a method which performs very efficient ...
232 M. Nardon and P. Pianca Ta b le 1 .European calls with dividendD=5(S 0 =100,T=1,r= 0 .05,σ= 0 .2) tD XHHLNon-rec. bin. Inter ...
Binomial algorithms for the evaluation of options on stocks 233 Ta b le 3. European call option with multiple dividendsD = 5paid ...
234 M. Nardon and P. Pianca Beneder R., Vorst T.: Option on dividends paying stocks. In: Yong, J. (ed.) Recent Devel- opments i ...
Nonparametric prediction in time series analysis: some empirical results Marcella Niglio and Cira Perna Abstract.In this paper a ...
236 Marcella Niglio and Cira Perna 90-day US T-bill secondary market rates. Some concluding remarks are given at the end. 2 Nonp ...
Nonparametric prediction in time series analysis 237 The properties of (3) in the presence of strictly stationary and Markovian ...
238 Marcella Niglio and Cira Perna Procedure 2: Subsample length selection Fixm<Tand computeXˆT,m, the subsampling estimate ...
Nonparametric prediction in time series analysis 239 Ta b le 1 .Distribution of the 100 series of lengthT=70 andT=100 respective ...
240 Marcella Niglio and Cira Perna nonstationarity of the seriesXt, which can be empirically appreciated by observing the correl ...
Nonparametric prediction in time series analysis 241 The first differences ofXt(denoted byrtin the following) are then plotted i ...
242 Marcella Niglio and Cira Perna Ta b le 4 .LR linearity test ofrt pdStat (p-value) rt 4130. 5996 (1.9343e-05) The results of ...
Nonparametric prediction in time series analysis 243 The selection ofpis obtained from the minimisation of a quadratic loss func ...
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