This paper is a compendium of results-theoretical and computational-from a series of recent papers developing a new American option valuation technique based on linear programming (LP). Some further computational results are included for completeness. A proof of the basic analytical theorem is...

We investigate numerical solution of finite difference approximations to American option pricing problems, using a new direct numerical method: simplex solution of a linear programming formulation. This approach is based on an extension to the parabolic case of the equivalence between linear...

The purpose of this paper is to present evidence in support of the hypothesis that fast, accurate and parametrically robust numerical valuation of a wide range of derivative securities can be achieved by use of direct numerical methods in the solution of the associated PDE problems....

During the 1970s and early 1980s Paraguay experienced relatively high rates of economic growth as well as a boom in primary goods production destined for export. The question which this research addresses concerns the relationship between these events and the applicability of the so-called...

Since the arrival of the World Trade Organization (WTO) in 1995 a number of side agreements have also been negotiated that seek further rationalization of the emerging global economy. Prominent among these is the agreement on Trade-Related Intellectual Property Rights, or TRIPS. Enforcement of...

This paper examines the problems of public and institutional reforms within the context of a so-called predatory state. The predatory state is one that acts in the interest of an elite rather than pursue a coherent strategy for economic development. The argument is that, even after the process...

Whose Reality Counts? Putting the First Last. By Robert Chambers. London: Intermediate Technology Publications, 1996. Pp.xx + 297. £3.25. ISBN 1 85339 386 X Fighting for the Rainforest: War, Youth and Resources in Sierra Leone. By Paul Richards. Oxford: The International African Institute in...

The cycle of various economic stabilisation efforts in Argentina during the 1980s has often been characterised as reflecting either policy confusion on the part of officials or their unwillingness to depart from an obsolete model of economic development. Hence, according to some, the alternation...

The Divided Economy of Mandatory Palestine. By Jacob Metzer. Cambridge: Cambridge University Press, 1998. Pp.xxii + 275. £40. ISBN 0 521 46550 8 The Political Economy of Market Reform in Jordan. By Timothy J. Piro. Lanham, MD: Rowman & Littlefield, 1998. Pp.xvi + 152. $54.00 and $19.95. ISBN 0...