We propose a partial integro-differential equation (PIDE) and a closed-form pricing formula for floating type look-back option when stock price follows exponential Levy process. We first develope a PIDE based on martingale method and from there derive a closed-form formula for pricing contracts....

We model the consequences of parental control over choice of wives for sons, for parental incentives to educate daughters, when the marriage market exhibits competitive dowry payments and altruistic but paternalistic parents benefit from having married sons live with them. By choosing uneducated...

We propose a PIDE and closed-form Fourier Pricing formula for floating type Look-back option when stock price follows exponential Lévy Process. We first developed a PIDE based on Martingale method and derived a closed-form Fourier formula for pricing contracts. The formula is simple, easy to...

In recent times there has been an increasing level of debate whether patterns do exist in equity market movements and whether they can be predicted. In order to overcome the shortcomings of traditional time series models, we have focused our study on the application of non-parametric paradigms...

An economy is often characterised by two important objectives set for the policy makers. One regarding the growth rate of the economy and the other being the rate of inflation. A common strategy adopted by the policy makers to achieve these twin goals is to manage the interest rate through the...

We propose a stochastic model to develop a partial integro-differential equation (PIDE) for pricing and pricing expression for fixed type single Barrier options based on the Itô-Lévy calculus with the help of Mellin transform. The stock price is driven by a class of infinite activity Lévy...

The commodity futures market is a home-grown economic institution with a perceptible impact on its stakeholders and value chain players. The introduction of the Commodity futures in India was made with the dual purpose of promoting price discovery and enhancing risk management. Hence, there is a...