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Do Executive Stock Options Encourage Risk-Taking?
Risk and Uncertainty Motivation and Incentives Stock Options Executive Compensation
2015/5/13
Executive stock options create incentives for executives to manage firms in ways that maximize firm market value. Since options increase in value with the volatility of the underlying stock, executive...
A method for pricing American options using semi-infinite linear programming
optimal stopping excessive functions upper bounds semiinfinite linear programming
2011/3/30
We introduce a new approach for the numerical pricing of American options. The main idea is to choose a finite number of suitable excessive functions (randomly) and to find the smallest majorant of th...
Hedging of Game Options With the Presence of Transaction Costs
proportional transaction Black-Scholes super-replication price
2011/3/30
We study the problem of super-replication for game options under proportional transaction costs. We consider a multidimensional model which is an extension of the usual Black-Scholes (BS) model, in th...
On the Use of Policy Iteration as an Easy Way of Pricing American Options
Policy Iteration Pricing American Options
2011/1/4
When using finite differences or finite elements for American option pricing, one usually has to solve what is known as a discrete linear complementarity problem (LCP). Widely used methods for solving...
Morse Potential, Contour Integrals, and Asian Options
Morse Potential Contour Integrals Asian Options
2010/10/22
Completeness of the eigenfunctions of a quantum mechanical system is crucial for its probability interpretation. By using the method of contour integral we give properly normalized eigenfunctions for ...
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 ...
In this paper we analytically study the pricing of the arithmetically averaged Asian option in the path integral formalism. By a trick about the Dirac delta function, the measure of the path integral...
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...
AGRICULTURAL TRADE POLICY OPTIONS FOR SRI LANKA DURING CRISIS TIMES
AGRICULTURAL TRADE POLICY OPTIONS SRI LANKA DURING CRISIS TIMES
2014/4/11
The past three years were an eventful era for Sri Lanka whose economy had previously been relatively open and highly trade dependent. The era started with rapidly rising food and commodity prices and ...
Quota-free Trade in Textiles and Clothing: Policy Issues and Options for ASEAN
Quota-free Trade Textiles Clothing Policy Issues ASEAN
2009/9/1
Constrained until 2005 by import quotas, the production and trade of textiles
and clothing (T&C) has become widely dispersed with substantial losses in
global income and welfare. Meanwhile, quota an...
Priority Integration Sectors in ASEAN: Supply-side Implications and Options
ASEAN Supply-side Implications
2009/9/1
There are 12 priority integration sectors of strategic importance for the Association of Southeast Asian Nations (ASEAN). Exports from the nine largely goods sectors, with almost three quarters of mer...
Trademarks and Geographical Indications:Policy Issues and Options in Trade Negotiations and Implementation
Trade Negotiations Policy
2009/9/1
Trademarks and geographical indications have been the focus of contention in
bilateral and multilateral trade negotiations and in the implementation of
agreed trade obligations and regulations among...
Consistent Pricing and Hedging of an FX Options Book
foreign exchange options market uncertain Black-Scholes parameters
2009/5/7
In the foreign exchange (FX) options market away-from-the-money options are quite actively traded, and quotes for the same type of instruments are available everyday with very narrow spreads (at leas...
Pricing Path-Dependent Options with Jump Risk via Laplace Transforms
jump diffusion American options barrier and lookback options
2009/5/7
We present analytical solutions for two-dimensional Laplace transforms of barrier option prices, as well as an approximation based on Laplace transforms for the prices of finite-time horizon American...