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您的检索式：作者名="PRAGER David"
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| 1 | Valuation of Stock Loans Under a Markov Chain Model显示文摘In recent years the use of Markov chain models to model stock price movement has received increased attention among researchers.Markov chain models combine the discrete movements of a binomial tree model while retaining the Markovian properties of Brownian motion,thus allowing the best properties of both of these models.In this paper,the authors consider a Markov chain model in which the underlying market is solely determined by a two-state Markov chain.Such a Markov chain model is strikingly simple and yet appears capable of capturing various market movements.By proper selection of parameters,the Markov chain model can produce sample paths that are very similar to.or very distinct from a classical Brownian motion,as the authors demonstrate in this paper.This paper studies the stock loan valuation,or the value of a loan in which a risky share of stock is used as collateral,under such a model.Dynamic programming equations in terms of variational inequalities are used to capture the dynamics of the problem.These equations are solved in closed-form.Explicit optimal solutions are obtained.Numerical examples are also reported to illustrate the results. | PRAGER David ZHANG Qing | 2016 | Journal of Systems Science & Complexity2016，29，1： | 2 |
| 2 | STOCK LOAN VALUATION UNDER A REGIME-SWITCHING MODEL WITH MEAN-REVERTING AND FINITE MATURITY显示文摘Stock loans are business contracts between borrowers and lenders in which the borroweruses shares of stock as collateral for the loan.Since the value of the collateral is subject to wide andfrequent price swings,valuing such a transaction behaves more like an option pricing problem thana debt valuation problem.This paper will list,prove,and analyze formulas for stock loan valuationwith finite horizon under various stock models,including classical geometric Brownian motion,meanreverting,and two-state regime-switching with both mean-reverting and geometric Brownian motionstates.Numerical examples are reported to illustrate the results. | David PRAGER | 2010 | Journal of Systems Science & Complexity2010，23，3： | 2 |
| 3 | Building Watson : An Overview of the DeepQA Project显示文摘 | David Ferrucci Eric Brown Jennifer Chu - Carroll James Fan David Gondek Aditya A Kalyanpur Adam Lally Wil- liam J Murdock Eric Nyberg John Prager Nico Schlaefer Chris Wehy | 2010 | AI Magazine2010，31，3： | 1 |
| 4 | The Classification of Longyan显示文摘 | Branner David Prager | 1999 | Journal of Chinese Linguistics Monograph1999，15，： | 1 |
| 5 | Best Practices for Intrathecal Drug Delivery for Pain显示文摘 | Joshua Prager Timothy Deer Robert Levy Brian Bruel Eric Buchser David Caraway Michael Cousins Marilyn Jacobs Gail McGlothlen Richard Rauck Peter Staats Lisa Stearns | 2014 | Neuromodulation: Technology at the Neural Interface2014，，4： | 1 |
| 6 | Polyanalgesic Consensus Conference 2012: Recommendations for the Management of Pain by Intrathecal (Intraspinal) Drug Delivery: Report of an Interdisciplinary Expert Panel显示文摘 | Timothy R. Deer Joshua Prager Robert Levy James Rathmell Eric Buchser Allen Burton David Caraway Michael Cousins José De Andrés Sudhir Diwan Michael Erdek Eric Grigsby Marc Huntoon Marilyn S. Jacobs Philip Kim Krishna Kumar Michael Leong Liong Liem Gladst | 2012 | Neuromodulation: Technology at the Neural Interface2012，，5： | 1 |
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