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 ...

The goal of this work is to assess the empirical performance of some hedging strategies in the Brazilian derivative market. In particular, we entertain a portfolio of exotic options with knock-in and knock-out barriers. ...

The stochastic volatility model proposed by Fouque, Papanicolaou, and Sircar (2000) explores a fast and a slow time-scale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility ...

"The use of currency options as an instrument of intervention in the foreign exchange market has been largely unexplored. In this document we develop a pricing strategy that allow us to value and examine the options issued ...