A framework for pricing Asian power options is developed when the underlying asset follows a jumpfraction process. The partial differential equation (PDE) in the fractional environment with jump is constructed for such option using general Itô's lemma and self-financing dynamic strategy. With...

A framework for pricing Asian power options is developed when the underlying asset follows a jumpfraction process. The partial differential equation (PDE) in the fractional environment with jump is constructed for such option using general Itô’s lemma and self-financing dynamic strategy. With...

A framework for pricing Asian power options is developed when the underlying asset follows a jumpfraction process. The partial differential equation (PDE) in the fractional environment with jump is constructed for such option using general Itô's lemma and self-financing dynamic strategy. With...

For Central, Eastern and Southeastern European (CESEE) countries, the euro area is the most important export destination. Nevertheless, geographical export patterns differ among individual CESEE countries, and economic growth within the euro area has diverged in the run-up to and since the...

This report discusses the preliminary results for the analysis of the Baltic Dry Index (BDI) using data mining techniques. The overall aim of the project is to investigate ways to identify trends or stages in the BDI associated with economic cycles, as well as other relationships with economic...

Maximum-minimum bidirectional options are a kind of exotic path dependent options. In the constant elasticity of variance (CEV) model, a combining trinomial tree was structured to approximate the non-constant volatility that is a function of the underlying asset. On this basis, a simple and...

For Central, Eastern and Southeastern European (CESEE) countries, the euro area is the most important export destination. Nevertheless, geographical export patterns differ among individual CESEE countries, and economic growth within the euro area has diverged in the run-up to and since the...

This article applies the event study approach to assess the immediate impact of Euro on intra-regional trade among the European Union (EU) members. Here, the post-Euro intra-regional trade has been compared with the pre-Euro intra-regional trade, while the implementation of Euro has been...

Leading indicators are series that are examined to forecast fluctuations in a reference series. The series which are selected as the leading indicator of reference series are combined using weighted averages to form “composite leading indicators”. In this study, we aim to form a “composite...