FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W757627987> ?p ?o ?g. }

• W757627987 abstract "The exotic options that are examined in this thesis have a combination of non-standard characteristics which can be found in shout, multi-callable, pathdependent and Bermudan options. These options are called reset options. A reset option is an option which allows the holder to reset, one or more times, certain terms of the contract based on pre-specified rules during the life of the option. Overall in this thesis, an attempt has been made to tackle the modeling challenges that arise from the exotic properties of the reset option embedded in segregated funds. Initially, the relevant literature was reviewed and the lack of published work, advanced enough to deal with the complexities of the reset option, was identified. Hence, there appears to be a clear and urgent need to have more sophisticated approaches which will model the reset option. The reset option on the maturity guarantee of segregated funds is formulated as a non-stationary finite horizon Markov Decision Process. The returns from the underlying asset are modeled using a discrete time approximation of the lognormal model. An Optimal Exercise Boundary of the reset option is derived where a threshold value is depicted such that if the value of the underlying asset price exceeds it then it is optimal for the policyholder to reset his maturity guarantee. Otherwise, it is optimal for the policyholder to rollover his maturity guarantee. It is noteworthy that the model is able to depict the Optimal Exercise Boundary of not just the first but of all the segregated fund contracts which can be issued throughout the planning horizon of the policyholder. The main finding of the model is that as the segregated fund contract approaches its maturity, the threshold value in the Optimal Exercise Boundary" @default.
• W757627987 created "2016-06-24" @default.
• W757627987 creator A5030158058 @default.
• W757627987 date "2009-01-01" @default.
• W757627987 modified "2023-09-26" @default.
• W757627987 title "Modeling exotic options with maturity extensions by stochastic dynamic programming" @default.
• W757627987 cites W1570065875 @default.
• W757627987 cites W1571438983 @default.
• W757627987 cites W1963951622 @default.
• W757627987 cites W1966119267 @default.
• W757627987 cites W1970448941 @default.
• W757627987 cites W1972137248 @default.
• W757627987 cites W1975716795 @default.
• W757627987 cites W1980241517 @default.
• W757627987 cites W1983790512 @default.
• W757627987 cites W1990517299 @default.
• W757627987 cites W1998686284 @default.
• W757627987 cites W2012023728 @default.
• W757627987 cites W2018135382 @default.
• W757627987 cites W2063750298 @default.
• W757627987 cites W2064978316 @default.
• W757627987 cites W2072679419 @default.
• W757627987 cites W2084482813 @default.
• W757627987 cites W2096663607 @default.
• W757627987 cites W2099483868 @default.
• W757627987 cites W2100190417 @default.
• W757627987 cites W2111473977 @default.
• W757627987 cites W2112418185 @default.
• W757627987 cites W2114245339 @default.
• W757627987 cites W2116264184 @default.
• W757627987 cites W2119567691 @default.
• W757627987 cites W2133289641 @default.
• W757627987 cites W2138540172 @default.
• W757627987 cites W2138842879 @default.
• W757627987 cites W2144042152 @default.
• W757627987 cites W2148080284 @default.
• W757627987 cites W2151065060 @default.
• W757627987 cites W2168672487 @default.
• W757627987 cites W2168975592 @default.
• W757627987 cites W2183226604 @default.
• W757627987 cites W3121280146 @default.
• W757627987 cites W3122167020 @default.
• W757627987 cites W3123956735 @default.
• W757627987 cites W3124475197 @default.
• W757627987 cites W3124693573 @default.
• W757627987 cites W3217038484 @default.
• W757627987 cites W633419077 @default.
• W757627987 hasPublicationYear "2009" @default.
• W757627987 type Work @default.
• W757627987 sameAs 757627987 @default.
• W757627987 citedByCount "0" @default.
• W757627987 crossrefType "dissertation" @default.
• W757627987 hasAuthorship W757627987A5030158058 @default.
• W757627987 hasConcept C10138342 @default.
• W757627987 hasConcept C101433766 @default.
• W757627987 hasConcept C106159729 @default.
• W757627987 hasConcept C119857082 @default.
• W757627987 hasConcept C126255220 @default.
• W757627987 hasConcept C138060521 @default.
• W757627987 hasConcept C138496976 @default.
• W757627987 hasConcept C144237770 @default.
• W757627987 hasConcept C149782125 @default.
• W757627987 hasConcept C15744967 @default.
• W757627987 hasConcept C162118730 @default.
• W757627987 hasConcept C162324750 @default.
• W757627987 hasConcept C175025494 @default.
• W757627987 hasConcept C175444787 @default.
• W757627987 hasConcept C1898038 @default.
• W757627987 hasConcept C194483076 @default.
• W757627987 hasConcept C2776291640 @default.
• W757627987 hasConcept C2778311368 @default.
• W757627987 hasConcept C2779795794 @default.
• W757627987 hasConcept C2780973918 @default.
• W757627987 hasConcept C29122968 @default.
• W757627987 hasConcept C33923547 @default.
• W757627987 hasConcept C38652104 @default.
• W757627987 hasConcept C41008148 @default.
• W757627987 hasConcept C76178495 @default.
• W757627987 hasConcept C96252135 @default.
• W757627987 hasConceptScore W757627987C10138342 @default.
• W757627987 hasConceptScore W757627987C101433766 @default.
• W757627987 hasConceptScore W757627987C106159729 @default.
• W757627987 hasConceptScore W757627987C119857082 @default.
• W757627987 hasConceptScore W757627987C126255220 @default.
• W757627987 hasConceptScore W757627987C138060521 @default.
• W757627987 hasConceptScore W757627987C138496976 @default.
• W757627987 hasConceptScore W757627987C144237770 @default.
• W757627987 hasConceptScore W757627987C149782125 @default.
• W757627987 hasConceptScore W757627987C15744967 @default.
• W757627987 hasConceptScore W757627987C162118730 @default.
• W757627987 hasConceptScore W757627987C162324750 @default.
• W757627987 hasConceptScore W757627987C175025494 @default.
• W757627987 hasConceptScore W757627987C175444787 @default.
• W757627987 hasConceptScore W757627987C1898038 @default.
• W757627987 hasConceptScore W757627987C194483076 @default.
• W757627987 hasConceptScore W757627987C2776291640 @default.
• W757627987 hasConceptScore W757627987C2778311368 @default.
• W757627987 hasConceptScore W757627987C2779795794 @default.
• W757627987 hasConceptScore W757627987C2780973918 @default.
• W757627987 hasConceptScore W757627987C29122968 @default.

• next