Search results
Results From The WOW.Com Content Network
Jamshidian's trick is a technique for one-factor asset price models, which re-expresses an option on a portfolio of assets as a portfolio of options. It was developed by Farshid Jamshidian in 1989. The trick relies on the following simple, but very useful mathematical observation.
Get AOL Mail for FREE! Manage your email like never before with travel, photo & document views. Personalize your inbox with themes & tabs. You've Got Mail!
The first nine blocks in the solution to the single-wide block-stacking problem with the overhangs indicated. In statics, the block-stacking problem (sometimes known as The Leaning Tower of Lire (Johnson 1955), also the book-stacking problem, or a number of other similar terms) is a puzzle concerning the stacking of blocks at the edge of a table.
repeat until the discounted value at the first node in the tree equals the zero-price corresponding to the given spot interest rate for the i-th time-step. Step 2. Once solved, retain these known short rates, and proceed to the next time-step (i.e. input spot-rate), "growing" the tree until it incorporates the full input yield-curve.
As above, these methods can solve derivative pricing problems that have, in general, the same level of complexity as those problems solved by tree approaches, [1] but, given their relative complexity, are usually employed only when other approaches are inappropriate; an example here, being changing interest rates and / or time linked dividend policy.
A given fund transfer price will impact the measured performance of business units based on whether such business units are short of funds or have an excess of funds. The key variable which should be considered for setting the fund transfer price is the strategy of the financial institution (i.e. corporate strategy).
Although the three-peg version has a simple recursive solution long been known, the optimal solution for the Tower of Hanoi problem with four pegs (called Reve's puzzle) was not verified until 2014, by Bousch. [20] However, in case of four or more pegs, the Frame–Stewart algorithm is known without proof of optimality since 1941. [21]
Here the price of the option is its discounted expected value; see risk neutrality and rational pricing. The technique applied then, is (1) to generate a large number of possible, but random, price paths for the underlying (or underlyings) via simulation, and (2) to then calculate the associated exercise value (i.e. "payoff") of the option for ...