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Decisions in Economics and Finance - We define a premium principle under the continuous cumulative prospect theory which extends the equivalent utility principle. In prospect theory, risk attitude... 相似文献
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In questo lavoro si studia il problema di ricerca della distribuzione di probabilità comune da assegnare a due numeri aleatori discreti che assumano i primin valori interi naturali in modo che la loro somma abbia moda di minima probabilità.Il problema è affrontato sia dal punto di vista teorico tramite gli strumenti della programmazione matematica, sia dal punto di vista numerico.
Pervenuto il 22-1-82 相似文献
LetX andY be two random numbers with the same distribution function; in this paper we consider the problem of finding a random numberX+Y having mode with minimal probability. In particular we have considered only the case ofX andY assuming the firstn integer values, so thatp (dimensionn) is the common distribution andq (dimension 2n–1) is the distribution ofX+Y; then the problem is to minimizem=maxq 1.In the known literature it appears that theoretical results and numerical experience have brought to various conjectures not confermed. In this paper the problem is considered from the mathematical programming point of view. Several theoretical results are obtained even if the full solution of the problem is not reached. Anyway, such results, limiting the search range of a solution, suggested extended numerical testing, also for rather large values ofn, so that non trivial conclusions can be derived.
Pervenuto il 22-1-82 相似文献
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Abstract
In this contribution we propose a two-step simulation procedure that enables to compute the exercise features of American
options and analyze the properties of the optimal exercise times and exercise probabilities. The first step of the procedure
is based on the calculation of an accurate approximation of the optimal exercise boundary. In particular, we use a smoothed
binomial method which effectively reduces the fluctuating behavior of a discrete boundary. In the second step the boundary
is used to define a stopping rule which is embodied in a Monte Carlo simulation method. A broad experimental analysis is carried
out in order to test the procedure and study the behavior of the exercise features.
Mathematics Subject Classification (2000): 60G40, 60J60, 65C20
Journal of Economic Literature Classification: G13 相似文献
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