APPLICATION OF TOBIT-PIECEWISE REGRESSION IN ECONOMICS DATA CONSISTING OF OUTLIERS
Journal Title: Topics in Economics, Business and Management (EBM) - Year 2017, Vol 1, Issue 1
Abstract
In this paper the Greeks are derived in the Piterbarg option pricing framework, which derives the price of an option through three unique interest rates, and collateral payments. The different scenarios of collateral payments are discussed, and closed form solutions for the option prices are derived. The Greeks are found for each scenario and implemented.
Authors and Affiliations
Titirut Mekbunditkul, Nantawarn Ramdacha, Parinya Klaicharoen, Skulthip Anantarag
Keywords
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- EP ID EP413006
- DOI 10.26480/icemi.01.2017.302.306
- Views 59
- Downloads 0
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