نتایج جستجو برای: stochastic interest rate
تعداد نتایج: 1369047 فیلتر نتایج به سال:
In this paper, we study the problem of pricing multi-asset American-style options in the Heston-Hull-White model. It is widely recognized that our intended model compared to the original Heston model, due to its stochastic interest rate and stochastic volatility, is more compatible with the realistic of the market. We demonstrate the efficiency and accuracy of the our proposed method by verifyi...
In this paper we assess the partial hedging problems by formulating hedging strategies that minimize conditional value-at-risk (CVaR) of the portfolio loss under stochastic interest rate environment. The combination of stochastic interest and CVaR hedging method makes the valuing approach more complex than the existing model with constant interest rate. We take up two issues in searching the op...
In this thesis, we study the issue of pricing discretely-sampled variance swaps under stochastic volatility and stochastic interest rate. In particular, our modeling framework consists of the equity which follows the dynamics of the Heston stochastic volatility model, whereas the stochastic interest rate is driven by the Cox-Ingersoll-Ross (CIR) model. We first extend the framework of [119] by ...
Recently, the topic of taxation on the interest rate on bank deposits has become o one of the new debates among economists and politicians. In this regard, the purpose of this study is investigation of the effect of taxation on the interest rate on bank deposits on gross domestic product using the Dynamic stochastic general equilibrium model in period of 1981 to 2016. The results of the resear...
نمودار تعداد نتایج جستجو در هر سال
با کلیک روی نمودار نتایج را به سال انتشار فیلتر کنید