Essays about: "optimal stopping problem"

Showing result 6 - 7 of 7 essays containing the words optimal stopping problem.

1. 6. Revision Moment for the Retail Decision-Making System

   University essay from Högskolan i Halmstad; Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Tillämpad matematik och fysik (MPE-lab)

   Author : Agnieszka Beata Juszczuk; Evgeniya Tkacheva; [2010]
   Keywords : Financial Mathematics; Loan origination; Logistic regression model; Change-point problem; Maximum likelihood method; Poisson process; Disorder problem; Non-homogeneous Poisson process; Optimal stopping problem; Free-boundary problem;

   Abstract : In this work we address to the problems of the loan origination decision-making systems. In accordance with the basic principles of the loan origination process we considered the main rules of a clients parameters estimation, a change-point problem for the given data and a disorder moment detection problem for the real-time observations. READ MORE

3. 7. Structure of hedging portfolio for American Put and Russian options

   University essay from Högskolan i Halmstad

   Author : Alexander Stromilo; []
   Keywords : Russian option; American Put option; optimal stopping; hedging;

   Abstract : In this work we consider a problem of the computation of the components of the hedging portfolio structure. In literature often one can find valuations and estimations of the fair price of American options. But the formulas for hedging portfolio are interesting as well and are known for very particular cases only. READ MORE