-projection, this paper uses HIV positive tests data. Both multinomial and Poisson settings are used. The two settings give similar … differ a lot. The multinomial setting always gives a levelling-off pattern for the recent past, while the Poisson setting is … more sensitive to the change in the shape of the HIV infection curve. Nonetheless, the multinomial setting gives a …

Lattice methods are often used to value derivative instruments. Multinomial lattice methods can in principle converge … to the true value of the derivative to very high order. In this paper we describe how very high order multinomial … with comparisons between methods with branching order 3, 7, 11, 15 and 19 applied to a geometric Brownian motion …

We will present a model to compute a lower bound for the price of this option. The model, represented by a non …

The extension of the Black-Scholes option pricing theory to the valuation of barrier options is reconsidered. Working …

This paper shows a simple approach to the pricing of options on spread and some arguments in favor of modelling the …

of the Nikkei 225 index around the 2007-2008 subprime loan crisis. The extended use of Japanese option data and an …

Gârleanu et al. (RFS 2009) show that a demand pressure phenomenon exists in option markets due to limit to arbitrage …. They assert that if arbitrage is perfect, option demand does not impact option price. In this note we show that there is a … positive relation between the demand for a redundant option and the option price, which is related to the beliefs of …

linked to the simplifying assumptions of the Black-Scholes option pricing model. Our empirical results show that forint …