This is a preview. Log in through your library . Abstract Let X, X₁, X₂,... be i.i.d. ℝd-valued real random vectors. Assume that EX = 0, cov X = ℂ, E∥X∥² = σ² and that X is not concentrated in a ...
Following Cox & Wermuth (1994, 2002), we show that the distribution of a set of binary observable variables, induced by a certain discrete latent variable model, may be approximated by a quadratic ...
This paper provides an efficient and accurate hybrid method to price American standard options in certain jump-diffusion models and American barrier-type options under the Black–Scholes framework. Our ...
There are three groups of optimization techniques available in PROC NLP. A particular optimizer can be selected with the TECH=name option in the PROC NLP statement. Since no single optimization ...
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