An enhanced option pricing framework that makes use of both continuous and discontinuous time paths based on a geometric Brownian motion and Poisson-driven jump processes respectively is performed in order to better fit with real-observed stock price paths while maintaining the analytical...

A method to price American-style option contracts in a limited information framework is introduced. The pricing methodology is based on sequential Monte Carlo techniques, as presented in Doucet, de Freitas, and Gordon's text "Sequential Monte Carlo Methods in Practice", and the least-squares...

We introduce a new method to price American-style options on underlying investments governed by stochastic volatility (SV) models. The method does not require the volatility process to be observed. Instead, it exploits the fact that the optimal decision functions in the corresponding dynamic...

Factorial moments are convenient tools in nuclear physics to characterize the multiplicity distributions when phase-space resolution (Delta) becomes small. For uncorrelated particle production within Delta, Gaussian statistics holds and factorial moments Fq are equal to unity for all orders q....

Many professional sports seasons end with one or more five- or seven-game series to determine an overall champion. Binomial trees commonly used to value complex derivatives can organize the many outcomes of a sport series. Applying trees to baseball provides insights about the trees and about...

The first ever explicit formulation of the concept of the option's probability density functions has been introduced in our publications “Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True...

• It is not widely emphasized in the literature that derivatives are complex random quantities which should, by custom, be characterized by their probability density functions. • It is understood that Black-Scholes style of derivatives pricing represents an expected value, i.e. the...

The first ever explicit formulation of the concept of an option's probability density functions has been introduced in our publications “Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True Value-at-Risk...