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Jamshidian's trick is a technique for one-factor asset price models, which re-expresses an option on a portfolio of assets as a portfolio of options. It was developed by Farshid Jamshidian in 1989. The trick relies on the following simple, but very useful mathematical observation.
In mathematics, the Milne-Thomson ... but the answers to the easier problems 1 and 2 are needed for proving the answers to problems 3 and 4. 1st problem. Problem: ...
The morphism h is a lift of f (commutative diagram) In category theory, a branch of mathematics, given a morphism f: X → Y and a morphism g: Z → Y, a lift or lifting of f to Z is a morphism h: X → Z such that f = g ∘ h. We say that f factors through h.
Sought: an element x 0 ∈ A such that f(x 0) ≤ f(x) for all x ∈ A ("minimization") or such that f(x 0) ≥ f(x) for all x ∈ A ("maximization"). Such a formulation is called an optimization problem or a mathematical programming problem (a term not directly related to computer programming , but still in use for example in linear ...
As above, the PDE is expressed in a discretized form, using finite differences, and the evolution in the option price is then modelled using a lattice with corresponding dimensions: time runs from 0 to maturity; and price runs from 0 to a "high" value, such that the option is deeply in or out of the money. The option is then valued as follows: [5]
In mathematical finance, Margrabe's formula [1] is an option pricing formula applicable to an option to exchange one risky asset for another risky asset at maturity. It was derived by William Margrabe (PhD Chicago) in 1978. Margrabe's paper has been cited by over 2000 subsequent articles.
A mathematical markup language is a computer notation for representing mathematical formulae, based on mathematical notation.Specialized markup languages are necessary because computers normally deal with linear text and more limited character sets (although increasing support for Unicode is obsoleting very simple uses).
In mathematics, a constraint is a condition of an optimization problem that the solution must satisfy. There are several types of constraints—primarily equality constraints, inequality constraints, and integer constraints. The set of candidate solutions that satisfy all constraints is called the feasible set. [1]