A major inconvenience of the traditional approach in portfolio choice, based upon historical information, is its inability to anticipate sudden changes of price tendencies. Introducing information about future behavior of the assets fundamentals may help to make more appropiate choices. However...

The interdependence of financial markets combined with their volatility make the multivariate GARCH model a suitable econometric framework for analysing their behaviour. However, the non-availability of analytical derivatives in a general context and the computational heaviness resulting from a...

This paper is concerned with the pricing of European continuous-installment options where the aim is to determine the initial premium given the installment payments schedule. The particular feature of this pricing problem is the determination, along with the initial premium, of an optimal...

In an American continuous-installment option the premium, instead of being paid up-front, is paid at a certain rate per unit time. At any time at or before maturity date, the holder has the right to terminate payments and either exercise the option or "walk away" from deal. Under the standard...

We present three approaches to value American continuous-installment options written on assets without dividends or with continuous dividend yield. In an American continuous-installment option, the premium is paid continuously instead of up-front. At or before maturity, the holder may terminate...

The interdependence of financial markets combined with their volatility make the multivariate GARCH model a suitable econometric framework for analysing their behaviour. However, the non-availability of analytical derivatives in a general context and the computational heaviness resulting from a...