support is derived for the spot rate return. The model permits the arbitrage free valuation of bond options and interest rate … options and produces dynamic portfolio strategies to duplicate these contracts. …

applied in Part II to study the Snell envelop and american options. The measurability and right-continuity of the former is …

-style options. We introduce a skewed version of the Student-t distribution, whose main advantage is that its shape depends on only … to compare different distributions and use the parameters as inputs to price other options. We explain the method … provides a better fit to market prices of options than the Shimko or implied tree models, and has a lower computation time than …

lower price errors in the underlying. The more popular options are, the more quickly information is incorporated in the …

-issued options. These markets exist side-by- side, offering many options with identical or similar characteristics. We motivate the …

In this paper, we compare option contracts from a traditional derivatives exchange to bank-issued options, also … counterparty for bank-issued options, they frequently exist side-by-side, and the empirical evidence shows that there is …-issued options have smaller quoted percentage bid-ask spreads than traditional option contracts by an average of 4.3%. The bid …

and market risk. We further discuss briefly the hedging of European options along with the local risk minimization … stochastic volatility models. And, we propose both a new vision and a general framework for valuing European options in the light … principle. Specifically, we attempt to find a strategy, which dominates the usual partial hedging technique often imposed by …