Optimal Stopping in Fuzzy Stochastic Processes and its Application to Option Pricing in Financial Engineering

2002 ◽  
pp. 244-251 ◽  
Author(s):  
Yuji Yoshida
Keyword(s):  
Option Pricing ◽  
Stochastic Processes ◽  
Optimal Stopping ◽  
Financial Engineering

scholarly journals On some problems of the optimal stopping of stable stochastic processes

1972 ◽  
Vol 12 (1) ◽  
pp. 173-179
Author(s):  
V. Mackevičius
Keyword(s):  
Stochastic Processes ◽  
Optimal Stopping

The abstracts (in two languages) can be found in the pdf file of the article. Original author name(s) and title in Russian and Lithuanian: В. Мацкявичюс. О некоторых задачах оптимальной остановки устойчивых случайных процессов V. Mackevičius. Apie kai kuriuos stabilių atsitiktinių procesų optimalaus sustabdymo uždavinius

An Analysis on the Stochastic Process underlying KOSPI200 Index Oprions Focused on Jumps Process

2015 ◽  
Vol 23 (2) ◽  
pp. 183-205
Author(s):  
Young Ho Eom ◽  
Woon Wook Jang
Keyword(s):  
Stochastic Process ◽  
Financial Crisis ◽  
Option Pricing ◽  
Stochastic Processes ◽  
Stochastic Volatility ◽  
Good Option ◽  
Index Options ◽  
Crisis Period ◽  
Empirical Results

This paper investigates empirically the modelling issues for the stochastic processes underlying KOSPI200 index options. Empirical results show that we need to incorporate two factor stochastic volatility processes to have a good option pricing performance. However, the number of the leverage channel is not an important issue for the modelling of the KOSPI200 index options. Our results also show that the models with finite activity large jumps outperform that with infinite activity small jumps for the financial crisis period. On the while, for the pre-crisis period, there is no clear superiority or inferiority between both jumps models.

scholarly journals On sufficient statistics for optimal stopping problems of stochastic processes

1971 ◽  
Vol 11 (3) ◽  
pp. 529-533
Author(s):  
B. Grigelionis
Keyword(s):  
Stochastic Processes ◽  
Optimal Stopping ◽  
Sufficient Statistics ◽  
Optimal Stopping Problems

The abstracts (in two languages) can be found in the pdf file of the article. Original author name(s) and title in Russian and Lithuanian: Б. И. Григелионис. К вопросу о достаточных статистиках для задач об оптимальной остановке случайных процессов B. Grigelionis. Pakankamų statistikų atsitiktinių procesų optimalaus sustabdymo uždaviniams klausimu

Optimal Stopping Under General Dependence Conditions

1983 ◽  
Vol 26 (3) ◽  
pp. 260-266
Author(s):  
M. Longnecker
Keyword(s):  
Time Series ◽  
Stochastic Processes ◽  
Optimal Stopping ◽  
Stopping Time ◽  
Random Variables ◽  
Stopping Times ◽  
Dependence Conditions ◽  
Series Type

AbstractLet {Xn} be a sequence of random variables, not necessarily independent or identically distributed, put and Mn =max0≤k≤n|Sk|. Effective bounds on in terms of assumed bounds on , are used to identify conditions under which an extended-valued stopping time τ exists. That is these inequalities are used to guarantee the existence of the stopping time τ such that E(ST/aτ) = supt ∈ T∞ E(|Sτ|/at), where T∞ denotes the class of randomized extended-valued stopping times based on S1, S2, … and {an} is a sequence of constants. Specific applications to stochastic processes of the time series type are considered.

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