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The proposed model modifies option pricing formulas for the basic case of log-normal probability distribution providing correspondence to formulated criteria of efficiency and completeness. The model ...
Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market
Hedging strategies minimal variance portfolios European Levy market
2010/12/13
This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different market assumptions, ...
For a given level of accuracy in option prices, the paper considers the problem of deciding when exactly, as one or more of the pricing parameters change, a barrier option degenerates into a simpler t...
There are no known exact formulas for the valuation of a number of exotic options, and this is particularly true for options under discrete monitoring and for American style options. Therefore, one u...
Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
Max-Plus decomposition supermartingales convex order Application American options portfolio insurance
2010/12/17
We are concerned with a new type of supermartingale decomposition in the Max-Plus algebra, which essentially consists in expressing any supermartingale of class $(\mathcal{D})$ as a conditional expec...
Getting real about biz options: Iowa State University prof’s study earns international research award（图）
managers biz options
2007/5/21
14th May 2007，AMES, Iowa -- Some managers throw money at a high-priced project in an effort to save it from failure. And while it may seem like they’re just throwing money away, they may ultimately pr...
Options for Supply Management in Canada with Trade Liberalization
Canada trade liberalization supply management
2014/4/11
Following the Uruguay Round of trade negotiations Canada replaced its import quotas
on sensitive products with tariff rate quotas. The over-quota tariffs on those products
operating under domesti...
On the Value–Volatility Relationship in a Real Options Model
investment analysis option-pricing theory finance
2010/12/7
In the analytical real options approach, the most important proposition that the value of the investment opportunity increases as the volatility increases has been proved by assuming the convexity of ...
Consistent Pricing and Hedging of an FX Options Book
foreign exchange options market uncertain Black-Scholes parameters
2010/12/7
In the foreign exchange (FX) options market away-from-the-money options are quite actively traded, and quotes for the same type of instruments are available everyday with very narrow spreads (at least...
Real Options in an Oligopoly Market
investment decision strategic substitution NPV criterion sequential
2010/12/7
This paper considers strategic entry decisions in an oligopoly market when the underlying state variable follows a geometric Brownian motion. It is shown that, even in the oligopoly case, three types ...
Real Options in an Oligopoly Market
investment decision strategic substitution NPV criterion
2010/12/7
This paper considers strategic entry decisions in an oligopoly market when the underlying state variable follows a geometric Brownian motion. It is shown that, even in the oligopoly case, three types ...
Pricing Path-Dependent Options with Jump Risk via Laplace Transforms
jump diffusion American options barrier and lookback options
2010/12/7
We present analytical solutions for two-dimensional Laplace transforms of barrier option prices, as well as an approximation based on Laplace transforms for the prices of finite-time horizon American ...
Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling
Monte Carlo simulation extreme values Brownian Bridge multi-asset barrier option multi-variate joint distribution Fr´ echet bounds
2010/10/29
An efficient conditioning technique, the so-called Brownian Bridge simulation, has previously
been applied to eliminate pricing bias that arises in applications of the standard
discrete-time Monte C...
ENTRANCE AND LODGING FEES IN THE NATIONAL PARK SYSTEM: OPTIONS FOR ZIMBABWE
Zimbabwe national parks tourism economic development ecological protection
2014/6/27
The National Park System of Zimbabwe is a main attraction for foreign tourists and an important contributor to the economic well being of the country. It contains large numbers of elephants, lions and...