This paper is concerned with the solution of the optimal stopping problem associated to the value of American options driven by continuous-time Markov chains. The valuefunction of an American option ...
The Annals of Statistics, Vol. 39, No. 2 (April 2011), pp. 673-701 (29 pages) The random numbers driving Markov chain Monte Carlo (MCMC) simulation are usually modeled as independent U (0, 1) random ...
We present a methodology for estimating up-jump and down-jump intensities in a continuous-time portfolio credit rating migration model. These intensities are interpreted as systematic factors and can ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results
Feedback