Risk neutral densities recovered from option prices can be used to infer market participants’ expectations of future stock returns and are a vital tool for pricing illiquid exotic options. Although there is a broad literature on the subject, most studies do not address the likelihood of...

In a thorough study of binomial trees, Joshi introduced the split tree as a two-phase binomial tree designed to minimize oscillations, and demonstrated empirically its outstanding performance when applied to pricing American put options. Here we introduce a "flexible" version of Joshi's tree,...

We study the convergence of the binomial, trinomial, and more generally $m$-nomial tree schemes when evaluating certain European path-independent options in the Black-Scholes setting. To our knowledge, the results here are the first for trinomial trees. Our main result provides formulae for the...

We study the convergence of the binomial, trinomial, and more generally m-nomial tree schemes when evaluating certain European path-independent options in the Black-Scholes setting. To our knowledge, the results here are the first for trinomial trees. Our main result provides formulae for the...

Efficient pricing of American options is important. Many numerical schemes calculate their prices using Bermudan options, and the popular penalty method is equivalent to a randomized Bermudan option scheme. Outside the Black-Scholes setting, very few convergence speed results have been...

The present report estimates the current R&D investments in selected low-carbon energy technologies in the EU-27 funded by the Member States, through the 6th EU Research and Euratom Framework Programmes and by companies with headquarters registered in the EU. The technologies considered are...

The European Commission is considering the implications of allowing the use of LHVs, vehicles measuring up to 25.25 m and weighing up to 60 tons, for the whole of the European Union transport system. The introduction of such trucks on the European road network will generate environmental...

Within the frame of the Logistics Action Plan, the European Commission is analysing the impacts of a potential introduction across the EU of Longer and Heavier Vehicles (LHVs), i.e. vehicles measuring up to 25.25 m and weighting up to 60 tons. Such vehicles are expected to improve the efficiency...