We study the risk index of an additive gamble proposed in Aumann and Serrano (J Political Econ 116(5):810–836, <CitationRef CitationID="CR2">2008</CitationRef>). We establish a generalized duality result for this index and use it to prove Yaari (J Econ Theory 1:315–329, <CitationRef CitationID="CR19">1969</CitationRef>) alternative characterization of DARA utilities. A new...</citationref></citationref>

Large distributed systems, such as grid computing and cloud computing, promise to supply users with high performance. Consequently, scheduling is currently becoming a crucial problem. Herd behavior is a common phenomenon which causes severe performance decrease in the systems caused by bad...

Asset price bubbles can arise unintentionally when one uses continuous-time diffusion processes to model financial quantities. We propose a flexible damped diffusion framework that is able to break many types of bubbles and preserve the martingale pricing approach. Damping can be done on either...

A new successive over-relaxation method to compute the Black-Scholes implied volatility is introduced. Properties of the new method are fully analyzed, including global well-definedness, local convergence, as well as global convergence. Quadratic order of convergence is achieved by either a...

Since its introduction by Owen in [29, 30], the empirical likelihood method has been extensively investigated and widely used to construct confidence regions and to test hypotheses in the literature. For a large class of statistics that can be obtained via solving estimating equations, the...

The bundling sale of information products has been a prevalent strategy in information industries. This paper attempts to study two issues that have not been adequately addressed in previous researches. First, we define the measure of customer heterogeneity by considering both the statistic...

A new successive over-relaxation method to compute the Black-Scholes implied volatility is introduced. Properties of the new method are fully analysed, including global well-definedness, local convergence, as well as global convergence. Quadratic order of convergence is achieved by either a...

We present a quasi-analytical method for pricing multi-dimensional American options based on interpolating two arbitrage bounds, along the lines of Johnson (1983). Our method allows for the close examination of the interpolation parameter on a rigorous theoretical footing instead of empirical...