Fixed income options are frequently adopted by companies to hedge interest rate risk. Their payoff dependence on the cumulative short-term rate makes them particularly informative about interest rate volatility risk. Based ...

This paper discusses the pricing of arithmetic Asian options when the underlying stock follows the constant elasticity of variance (CEV) process. We build a binomial tree method to estimate the CEV process and use it to ...

This paper discusses the pricing of arithmetic Asian options when the underlying stock follows the constant elasticity of variance (CEV) process. We build a binomial tree method to estimate the CEV process and use it to ...

En este artículo se presenta la deducción de la ecuación diferencial parcial de segundo orden asociada al problema de valoración de opciones asiáticas aritméticas continuas, junto con la aplicación de la transformada de ...

In this paper we implement dynamic term structure models that adopt bonds and Asian options in the estimation process. The goal is to analyse the pricing and hedging implications of term structure movements when options ...

Las opciones asiáticas, son un tipo particular de opción exótica, cuya principal característica es que su precio depende del promedio de los precios del activo subyacente durante la vigencia de la opción. Estas opciones ...

A framework for pricing Asian power options is developed when the underlying asset follows a jump-fraction process. The partial differential equation (PDE) in the fractional environment with jump is constructed for such ...

A framework for pricing Asian power options is developed when the underlying asset follows a jump-fraction process. The partial differential equation (PDE) in the fractional environment with jump is constructed for such ...

The double burden of malnutrition (DBM), defined as the simultaneous manifestation of both undernutrition and overweight and obesity, affects most low-income and middle-income countries (LMICs). This Series paper describes ...