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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 ...
American Options Pricing under Stochastic Volatility: Approximation of the Early Exercise Surface and Monte Carlo Simulations
American Options Pricing Stochastic Volatility
2010/10/21
The aim of this study was to develop methods for evaluating the American-style option prices when the volatility of the underlying asset is described by a stochastic process. As part of this problem ...
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...
Error Estimates for Multinomial Approximations of American Options in Merton's Model
Error Estimates Multinomial Approximations American Options Merton's Model
2010/10/19
We derive error estimates for multinomial approximations of American options in a multidimensional jump--diffusion Merton's model. We assume that the payoffs are Markovian and satisfy Lipschitz type c...
Shortfall Risk Approximations for American Options in the multidimensional Black--Scholes Model
Shortfall Risk Approximations American Options multidimensional Black--Scholes Model
2010/10/19
We show that shortfall risks of American options in a sequence of multinomial approximations of the multidimensional Black--Scholes (BS) market converge to the corresponding quantities for similar Ame...
An American Success Story—Keep it Simple: The Wiffle® Ball, Inc.
American Success Story Keep it Simple
2010/10/11
In an industry where the average toy has a life cycle measured in months, Wiffle® ball has thrived for more than fifty years. The Mullany family, creators and long-time managers of Wiffle®,exp...
Changing Business Practices in Fashion: Liz Claiborne, An American Innovator: A New Era of American Design
Changing Business Practices in Fashion American Innovator American Design
2010/10/11
In 1976, Liz Claiborne created a design-driven sportswear company that would revolutionize the American fashion industry. In this essay, I focus on the period from 1976 to 1993, prior to Liz
Claiborn...
Influences of Two Midwestern American Department Stores on Retailing Practices, 1883-1941
Influences Midwestern American Department Stores Retailing Practices
2010/10/11
Marshall Field’s of Chicago and the F. & R. Lazarus & Co. of Columbus, Ohio, were part of Alfred D. Chandler Jr.’s ―retailing revolution.‖ These two American department stores substantially influenced...
While scholars are certainly aware that African American businesses existed, few are aware of the established and growing body of scholarship focused on this important field of business
history. Sinc...
Creating Images of Fashion: Consumer Magazines and American Competition in Britain, 1910-1940
Images of Fashion Consumer Magazines Competition
2010/10/11
In this essay, we explore the development of consumer fashion magazines in Britain during the first half of the twentieth century.Leading British magazine publishers, led by Alfred Harmsworth’s Amalga...
The Latin American and Caribbean Economic Association（LACEA）
The Latin American and Caribbean Economic Association LACEA
2009/5/7
The Latin American and Caribbean Economic Association or Asociación de Economía de América Latina y el Caribe (LACEA) is an international association of economists with common research interests in La...
Quantized Interest Rate at the Money for American Options
Quantized Interest Rate Money for American Options
2010/10/29
In this work, we expand the idea of Samuelson[3] and Shepp[2,5,6] for stock
optimization using the Bachelier model [4] as our models for the stock price at the money
(X[stock price]= K[strike price]...
Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
Max-Plus decomposition supermartingales convex order Application American options portfolio insurance
2010/12/17
We are concerned with a new type of supermartingale decomposition in the Max-Plus algebra, which essentially consists in expressing any supermartingale of class $(\mathcal{D})$ as a conditional expec...
On perpetual American put valuation and first-passage in a regime-switching model with jumps
perpetual American valuation first-passage regime-switching model jumps
2010/12/17
In this paper we consider the problem of pricing a perpetual American put option in an exponential regime-switching L\'{e}vy model. For the case of the (dense) class of phase-type jumps and finitely ...