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Optimal investment decision for photovoltaic projects in China: a real options method
In an uncertain environment, it is important to investigate whether to postpone, abandon or immediately invest in photovoltaic (PV) projects. This...
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Options
An option is a financial instrument that may offer an asymmetrical exposure to the performance of the underlier. There is a large variety of options,...
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Exotic Options
An Exotic optionOptionexotic is an option that is neither a European Call or Put option nor an American Call or Put. A path-dependent...
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Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach
As defaultable options are subject to default risks in over-the-counter (OTC) markets, vulnerable options are one of the financial securities closely...
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Pricing options on flow forwards by neural networks in a Hilbert space
We propose a new methodology for pricing options on flow forwards by applying infinite-dimensional neural networks. We recast the pricing problem as...
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Insurance guaranty premiums and exchange options
Insurance guaranty schemes have been adopted to compensate policyholders for losses due to the insolvency of insurance companies. We derive explicit...
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Spread Options and Virtual Storage
We present a trading strategy based on the idea of virtual storage. The physical storage asset is replicated with a financial derivative, a calendar...
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High-order accurate variable time step compact schemes for pricing vanilla and exotic options
In this paper, a fourth order accurate variable time step compact scheme is developed for pricing vanilla and exotic options. Variable time step...
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A Robust Numerical Simulation of a Fractional Black–Scholes Equation for Pricing American Options
After the discovery of fractal structures of financial markets, fractional partial differential equations (fPDEs) became very popular in studying...
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A deep learning method for pricing high-dimensional American-style options via state-space partition
This paper proposes a deep learning approach for solving optimal stop** problems and high-dimensional American-style options pricing problems....
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Symmetries of the Black–Scholes–Merton Equation for European Options
AbstractThe aim of the present paper is the clarification of the result of A. Paliathanasis, K. Krishnakumar, K.M. Tamizhmani and P.G.L. Leach on the...
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Pricing Discretely Monitored Asian Options Under Regime-Switching and Stochastic Volatility Models with Jumps
This paper proposes a unified approach for pricing discretely monitored floating and fixed strike Asian options under a broad class of...
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Pricing of Commodity and Energy Options
Risk-neutral prices of options on infinite-dimensional forward price models are derived for general payoff functions. In the case of Gaussian forward...
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Convex duality for partial hedging of American options: continuous price processes
Partial hedging of American options is an interesting minimax problem and in this paper we establish its dual problem that concerns only...
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An Implicit Scheme for American Put Options
In this paper, an implicit scheme is proposed to solve a parabolic variational inequality arising from the American put options. The discretization...
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Options and Volatilities
This chapter summarizes the main building blocks that make up the business of volatility trading. It starts by covering remarkable contributions of...
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Volatility Term Structure and Exotic Options
We describe arguably the most significant oil derivative trade, the large-scale annual put buying program by the Government of Mexico. The complexity...
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A Short Note on Super-Hedging an Arbitrary Number of European Options with Integer-Valued Strategies
The usual theory of asset pricing in finance assumes that the financial strategies, i.e. the quantity of risky assets to invest, are real-valued so...
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Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment
In this paper, we deal with the problem of European vulnerable option pricing under the mixed fractional Brownian motion with stochastic corporate...
