This article explores the analytic valuation of American-style fixed strike Asian option or average rate option based on the continuous arithmetic average in the Black-Scholes framework. Because there is no closed-form exact valuation formula for the average rate option with the arithmetic...

This research investigates that the price relationship between a stock index and its associated nearby futures markets can be explained by the cost-of-carry model using the concordance correlation (CC) coefficient in the US financial markets. The main purpose of this research is to confirm that...

Spline functions are widely used in the fitting of the term structure of interest rates. This article provides a technique for selecting the smoothest curve in the set of spline functions which satisfy the conditions assigned by the user on the precision of the fitting curve

We have obtained a formula for vec( [circle times operator]i = 1N Bi). Using this formula and the 2Nth moment of the matrix normal distribution, we obtain the Nth moment of matrix quadratic form. Furthermore, we have obtained the kurtosis of Wishart distribution.