The objective of this paper is to elicit stakeholder preferences in relation to different Multiple Use Offshore Platforms (MUOP) designs produced by the TROPOS project (www.troposplatform.eu) for the Liuqiu Island, Taiwan using the Choice Experiment (CE) method. To authors/ acknowledge, this is...

In this paper, we consider the pricing of the CDS (credit default swap) under a GMFBM (generalized mixed fractional Brownian motion) model. As the name suggests, the GMFBM model is indeed a generalization of all the FBM (fractional Brownian motion) models used in the literature, and is proved to...

In this paper, a comprehensive review of the valuation of American options is presented. Various approaches to pricing American option contracts are discussed, with the pros and cons of each being briefly outlined. The paper aims to provide a literature review for those who are interested in...

This paper studies the pricing of European-style Asian options when the price dynamics of the underlying risky asset are assumed to follow a Markov- modulated geometric Brownian motion; that is, the appreciation rate and the volatility of the underlying risky asset depend on unobservable states...

This paper investigates the pricing of European-style lookback options when the price dynamics of the underlying risky asset are assumed to follow a Markov-modulated Geo-metric Brownian motion; that is, the appreciation rate and the volatility of the underlying risky asset depend on unobservable...

This paper reports on the development of a two-dimensional, fully nonlinear Computational Fluid Dynamics (CFD) model to analyse the efficiency of fixed Oscillating Water Column (OWC) Wave Energy Conversion (WEC) devices with linear power take off systems. The model was validated against previous...

This study presents an analytical exact solution for the price of VIX options under stochastic volatility model with simultaneous jumps in the asset price and volatility processes. We shall demonstrate that our new pricing formula can be used to efficiently compute the numerical values of a VIX...

The pricing of American options has been widely acknowledged as “a much more intriguing” problem in financial engineering. In this paper, a “convergency-proved” IFE (inverse finite element) approach is introduced to the field of financial engineering to price American options for the...

In this paper, two analytic solutions for the valuation of European-style Parisian and Parasian options under the Black–Scholes framework are, respectively, presented. A key feature of our solution procedure is the reduction of a three-dimensional problem to a two-dimensional problem through a...

In this paper, a new decomposition approach for valuing convertible bonds (CBs) is presented. Through developing an appropriate integral representation for the value of convertible bonds, we show that an extra premium associated with the holder’s early conversion right exists in addition to...