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American perpetual options with random start
Results in Applied Mathematics, 2019 We consider the valuation of American perpetual options with the property that they are only possible to exercise after the occurrence of a random time, which is a stopping time with respect to a given filtration.
Fredrik Armerin
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Discrete Dynamics in Nature and Society, 2020 In the paper, the pricing of the American put options under the double Heston model with Cox–Ingersoll–Ross (CIR) interest rate process is studied.
Huang Shoude, Xunxiang Guo
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Perpetual American options within CTRW's
, 2007 Continuous-time random walks are a well suited tool for the description of market behaviour at the smallest scale: the tick-to-tick evolution. We will apply this kind of market model to the valuation of perpetual American options: derivatives with no ...
Barone-Adesi +13 more
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Journal of Innovation & KnowledgeOne of the significant challenges to achieveing the Green Supply Chain Management objectives is the ecological footprint associated with several logistics operations.
Haoyu Cheng +3 more
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A Fast and Accurate Numerical Approach for Pricing American-Style Power Options
MathematicsIn this paper, we present a fast and accurate numerical approach applied to specific American-style derivatives, namely American power call and put options, whose main feature is that the underlying asset is raised to a power.
Tsvetelin S. Zaevski +2 more
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Asymptotic analysis of American call options
International Journal of Mathematics and Mathematical Sciences, 2001 American call options are financial derivatives that give the holder the right but not the obligation to buy an underlying security at a pre-determined price.
Ghada Alobaidi, Roland Mallier
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Coexisting Sickle Cell Anemia and Sarcoidosis: A Management Conundrum! [PDF]
, 2017 Sickle cell disease and Sarcoidosis are conditions that are more common in the African American population. In this report we share an unfortunate patient who had hepatic sarcoidosis but could not receive steroids since that precipitated acute liver ...
Gollahalli, Nagesh S., Nutan, FNU
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The Pricing of the American Option
The Annals of Applied Probability, 1992 The author gives a survey on the valuation problem for American options based on a risky asset which is modelled as a geometric Brownian motion. The fact that American options --- by definition --- can be exercised at any time up to a fixed maturity \(T\) makes the pricing problem more difficult than that for European options.
openaire +2 more sources
Pediatric Blood &Cancer, EarlyView.ABSTRACT Pediatric gastroenteropancreatic neuroendocrine neoplasms (GEP‐NENs) are extremely rare and clinically heterogeneous. Management has largely been extrapolated from adult practice. This European Standard Clinical Practice Guideline (ESCP), developed by the EXPeRT network in collaboration with adult NEN experts, provides (adult) evidence ...
Michaela Kuhlen +23 more
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On the American style futures contracts
Croatian Operational Research ReviewThere is a large number of sources devoted to the American style options. On the other hand, the American futures contracts are understudied in the scientific literature.
Tsvetelin Zaevski
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