In this paper we analyze American style of floating strike Asian call options belonging to the class of financial derivatives whose payoff diagram depends not only on the underlying asset price but also on the path average of underlying asset prices over some predetermined time interval.The...

In this review paper we recall a dynamic stochastic accumulation model for determining optimal decision between stock and bond investments during accumulation of pension savings. The model has been proposed and analyzed by the authors. We assume stock prices to be driven by a geometric Brownian...

In this paper we generalize and analyze the model for pricing American-style Asian options due to Hansen and Jorgensen by including a continuous dividend rate q and a general method of averaging of the floating strike. We focus on the qualitative and quantitative analysis of the early exercise...

The aim of this paper is to assess the expected socio-economic impacts of various scenarios of pandemic influenza mitigation on the economy and mortality for Slovakia. The paper relies on data accessible in the literature as well as on data supplied by pharmaceutical and health insurance...

In this paper we present qualitative and quantitative comparison of various analytical and numerical approximation methods for calculating a position of the early exercise boundary of the American put option paying zero dividends. First we analyze their asymptotic behavior close to expiration....

The aim of this paper is to construct and analyze solutions to a class of Hamilton-Jacobi-Bellman equations with range bounds on the optimal response variable. Using the Riccati transformation we derive and analyze a fully nonlinear parabolic partial differential equation for the optimal...

The purpose of this survey chapter is to present a transformation technique that can be used in analysis and numerical computation of the early exercise boundary for an American style of vanilla options that can be modelled by class of generalized Black-Scholes equations. We analyze...

The purpose of this paper is to construct the early exercise boundary for a class of nonlinear Black--Scholes equations with a nonlinear volatility depending on the option price. We review a method how to transform the problem into a solution of a time depending nonlinear parabolic equation...

Since January 2005, pensions in Slovakia are operated by a three-pillar system. This paper concentrates on the mandatory, fully funded second pillar. We recall the dynamic stochastic accumulation model proposed in [9]. Pension asset managers are very cautious and hold low stocks proportions in...