Showing 1 - 10 of 18
The issue of developing simple Black-Scholes type approximations for pricing European options with large discrete dividends was popular since early 2000's with a few different approaches reported during the last 10 years. Moreover, it has been claimed that at least some of the resulting...
Persistent link: https://www.econbiz.de/10010812368
Volume weighted average price (VWAP) options are a popular security type in many countries, but despite their popularity very few pricing models have been developed so far for VWAP options. This can be explained by the fact that the VWAP pricing problem is set in an incomplete market since there...
Persistent link: https://www.econbiz.de/10010812373
We introduce a class of financial contracts involving several parties by extending the notion of a two-person game option (see Kifer (2000)) to a contract in which an arbitrary number of parties is involved and each of them is allowed to make a wide array of decisions at any time, not restricted...
Persistent link: https://www.econbiz.de/10010770455
Volume weighted average price (VWAP) options are a popular security type in many countries, but despite their popularity very few pricing models have been developed so far for VWAP options. This can be explained by the fact that the VWAP pricing problem is set in an incomplete market since there...
Persistent link: https://www.econbiz.de/10010933656
The issue of developing simple Black--Scholes (BS)-type approximations for pricing European options with large discrete dividends was popular since the early 2000s with a few different approaches reported during the last 10 years. Moreover, it has been claimed that at least some of the resulting...
Persistent link: https://www.econbiz.de/10010692553
In this paper, an exact and explicit solution of the well-known Black-Scholes equation for the valuation of American put options is presented for the first time. To the best of the author's knowledge, a closed-form analytical formula has never been found for the valuation of American options of...
Persistent link: https://www.econbiz.de/10005462663
Accurately as well as efficiently calculating the early exercise boundary is the key to the highly nonlinear problem of pricing American options. Many analytical approximations have been proposed in the past, aiming at improving the computational efficiency and the easiness of using the formula,...
Persistent link: https://www.econbiz.de/10004977430
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...
Persistent link: https://www.econbiz.de/10010800943
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...
Persistent link: https://www.econbiz.de/10010800947
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...
Persistent link: https://www.econbiz.de/10010805589