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- Martingale_pricing abstract "Martingale pricing is a pricing approach based on the notions of martingale and risk neutrality. The martingale pricing approach is a cornerstone of modern quantitative finance and can be applied to a variety of derivatives contracts, e.g. options, futures, interest rate derivatives, credit derivatives, etc.In contrast to the PDE approach to pricing, martingale pricing formulae are in the form of expectations which can be efficiently solved numerically using a Monte Carlo approach. As such, Martingale pricing is preferred when valuing high-dimensional contracts such as a basket of options. On the other hand, valuing American-style contracts is troublesome and requires discretizing the problem (making it like a Bermudan option) and only in 2001 F. A. Longstaff and E. S. Schwartz developed a practical Monte Carlo method for pricing American options.".
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- Martingale_pricing wikiPageRevisionID "650290568".
- Martingale_pricing wikiPageWikiLink Almost_surely.
- Martingale_pricing wikiPageWikiLink Category:Finance_theories.
- Martingale_pricing wikiPageWikiLink Category:Mathematical_finance.
- Martingale_pricing wikiPageWikiLink Category:Pricing.
- Martingale_pricing wikiPageWikiLink Credit_derivative.
- Martingale_pricing wikiPageWikiLink Derivative_(finance).
- Martingale_pricing wikiPageWikiLink Eduardo_Schwartz.
- Martingale_pricing wikiPageWikiLink Filtration_(mathematics).
- Martingale_pricing wikiPageWikiLink Francis_Longstaff.
- Martingale_pricing wikiPageWikiLink Futures_contract.
- Martingale_pricing wikiPageWikiLink Girsanov_theorem.
- Martingale_pricing wikiPageWikiLink Interest_rate_derivative.
- Martingale_pricing wikiPageWikiLink Martingale_(probability_theory).
- Martingale_pricing wikiPageWikiLink Monte_Carlo_method.
- Martingale_pricing wikiPageWikiLink Option_(finance).
- Martingale_pricing wikiPageWikiLink Option_style.
- Martingale_pricing wikiPageWikiLink Partial_differential_equation.
- Martingale_pricing wikiPageWikiLink Probability_space.
- Martingale_pricing wikiPageWikiLink Radon–Nikodym_theorem.
- Martingale_pricing wikiPageWikiLink Risk-neutral_measure.
- Martingale_pricing wikiPageWikiLinkText "Martingale pricing".
- Martingale_pricing wikiPageWikiLinkText "martingale pricing".
- Martingale_pricing wikiPageUsesTemplate Template:Reflist.
- Martingale_pricing subject Category:Finance_theories.
- Martingale_pricing subject Category:Mathematical_finance.
- Martingale_pricing subject Category:Pricing.
- Martingale_pricing hypernym Approach.
- Martingale_pricing type ProgrammingLanguage.
- Martingale_pricing type Field.
- Martingale_pricing type Occupation.
- Martingale_pricing type Theory.
- Martingale_pricing comment "Martingale pricing is a pricing approach based on the notions of martingale and risk neutrality. The martingale pricing approach is a cornerstone of modern quantitative finance and can be applied to a variety of derivatives contracts, e.g. options, futures, interest rate derivatives, credit derivatives, etc.In contrast to the PDE approach to pricing, martingale pricing formulae are in the form of expectations which can be efficiently solved numerically using a Monte Carlo approach.".
- Martingale_pricing label "Martingale pricing".
- Martingale_pricing sameAs Q6777132.
- Martingale_pricing sameAs m.0db6qy.
- Martingale_pricing sameAs Q6777132.
- Martingale_pricing wasDerivedFrom Martingale_pricing?oldid=650290568.
- Martingale_pricing isPrimaryTopicOf Martingale_pricing.