We derive a risk-neutral pricing model for discrete dynamic guaranteed funds with geometric Gaussian underlying security price process. We propose a dynamic hedging strategy by adding a gamma factor to the conventional delta. Simulation results demonstrate that, when hedging discretely, the...

Over the past decade, research studies on benefits, critical success factors, difficulties, process, conceptual and theoretical models of construction partnering have been ubiquitous in the construction management discipline. In fact, there is adequate evidence that an increasing number of...

This paper develops an algorithm to calculate the Brownian multivariate normal probability subject to any preset error tolerance criteria. The algorithm is founded upon the computational simplicity of the tridiagonal structure of the inverse of the Brownian correlation matrix. Compared with...