no code implementations • 3 Mar 2021 • Vicky Henderson, Saul Jacka, Ruiqi Liu
We study a mathematical model capturing the support/resistance line method (a technique in technical analysis) where the underlying stock price transitions between two states of nature in a path-dependent manner.
no code implementations • 6 Oct 2020 • Kevin Engelbrecht, Saul Jacka
We provide a practical superhedging strategy for the pricing and hedging of the No-Negative-Equity-Guarantee (NNEG) found in Equity-Release Mortgages (ERMs), or reverse mortgages, using a discrete-time model.
