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Application of Simulation Model as a Strategic Option for Determining the Amount of Time Required By an Average Voter to Cast Vote
voting elections simulation model
2011/6/1
Since the return to civil rule in Nigeria in 1999, the country has organised two general elections and numerous re - run elections at different levels.
On a free boundary problem for an American put option under the CEV process
free boundary problem American option CEV process
2010/10/21
We consider an American put option under the CEV process. This corresponds to a free boundary problem for a PDE. We show that this free bondary satisfies a nonlinear integral equation, and analyze it ...
This paper examines the valuation of a generalized American-style option known as a Game-style call option in an infinite time horizon setting. The specifications of this contract allow the writer to ...
Comparison of numerical and analytical approximations of the early exercise boundary of the American put option
Comparison of numerical and analytical approximations early exercise boundary American put option
2010/10/18
In this paper we present qualitative and quantitative comparison of various analytical and numerical approximation methods for calculating a position of the early exercise boundary of the American pu...
Student's t-Distribution Based Option Sensitivities: Greeks for the Gosset Formulae
Student's t-Distribution Based Option Sensitivities Greeks the Gosset Formulae
2010/10/18
European options can be priced when returns follow a Student's t-distribution, provided that the asset is capped in value or the distribution is truncated. We call pricing of options using a log Stude...
A path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models
integral option pricing formulas applications stochastic volatility interest rate models
2010/12/20
We present a path integral method to derive closed-form solutions for option prices in a stochastic volatility model. The method is explained in detail for the pricing of a plain vanilla option. The f...
Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model
Option pricing stochastic volatility exponential Ornstein-Uhlenbeck model
2010/12/17
We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein-Uhlenbeck model. The random diffusion model proposed ...
The price of bond and European option on bond without credit risk. Classical look and its quantum extension
price bond European option credit risk Classical look quantum extension
2010/12/17
In this paper we compare two classical one-factor diffusion models which are used to model the term structure of interest rates. One of them is based on the Wiener-Bachelier process while the second o...
