Many derivatives products are directly or indirectly associated with integrated diffusion processes. We develop a general perturbation method to price those derivatives. We show that for any positive diffusion process, the hitting time of its integrated process is approximately normally...

We study the risk index of an additive gamble proposed in Aumann and Serrano (2008).We establish a generalized duality result for this index and use it to prove Yaari's (1969) alternative characterization of DARA utilities. A new characterization result for the risk index is obtained through...

<section xml:id="fut21659-sec-0001"> We develop an approximation technique for pricing finite‐maturity timer options under Heston‐like stochastic volatility models. By approximating the distributions of the accumulated variance and the random variance budget exceeding time, we obtain analytic expressions for timer option...</section>

The Margrabe formula is used extensively by theorists and practitioners not only on exchange options, but also on executive compensation schemes, real options, weather and commodity derivatives, etc. However, the crucial assumption of a bivariate normal distribution is not fully satisfied in...

The Margrabe formula is used extensively by theorists and practitioners not only on exchange options, but also on executive compensation schemes, real options, weather and commodity derivatives, etc. However, the crucial assumption of a bivariate normal distribution is not fully satisfied in...

Purpose For an entrant platform in the on-demand service market, choosing an appropriate employment model is critical. This study explores how the entrant optimally chooses the employment model to achieve better performance and investigates the optimal pricing strategies and wage schemes for...

Purpose The purpose of this paper is to build a compact and accurate classifier for high-dimensional classification. Design/methodology/approach A classification approach based on class-dependent feature subspace (CFS) is proposed. CFS is a class-dependent integration of a support vector machine...

More and more marketplace platforms choose to use the data gathered from consumers (e.g., customer search terms, demographics) to provide a data analytics service for third-party sellers, both encouraging innovations and improving the operations of the latter. Through adopting the data analytics...