Related papers: Perpetual Cancellable American Call Option
Analytical pricing formulas and Greeks are obtained for European and American basket put options using Mellin transforms. We assume assets are driven by geometric Brownian motion which exhibit correlation and pay a continuous dividend rate.…
We study the behavior of the critical price of an American put option near maturity in the Jump diffusion model when the underlying stock pays dividends at a continuous rate and the limit of the critical price is smaller than the stock…
We study the optimal stopping of an American call option in a random time-horizon under exponential spectrally negative L\'evy models. The random time-horizon is modeled as the so-called Omega default clock in insurance, which is the first…
We introduce a new method to price American-style options on underlying investments governed by stochastic volatility (SV) models. The method does not require the volatility process to be observed. Instead, it exploits the fact that the…
The paper is concerned with a two-player nonzero-sum differential game in the case when players are informed about the current position. We consider the game in control with guide strategies first proposed by Krasovskii and Subbotin. The…
We study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity contract with guaranteed minimum maturity benefit, under the assumption…
This paper provides a characterization of call-by-value solvability using call-by-value multi types. Our work is based on Accattoli and Paolini's characterization of call-by-value solvable terms as those terminating with respect to the…
The standard Black-Scholes theory of option pricing is extended to cope with underlying return fluctuations described by general probability distributions. A Langevin process and its related Fokker-Planck equation are devised to model the…
In this note, we consider a general discrete time financial market with proportional transaction costs as in Kabanov and Stricker (2001), Kabanov et al. (2002), Kabanov et al. (2003) and Schachermayer (2004). We provide a dual formulation…
Extracting implied information, like volatility and/or dividend, from observed option prices is a challenging task when dealing with American options, because of the computational costs needed to solve the corresponding mathematical problem…
In this research, we discuss a problem of calculating the Shapley value in bankruptcy games. We show that the decision problem of computing the Shapley value in bankruptcy games is NP-complete. We also investigate the relationship between…
In this paper the set of value functions of all-possible zero-sum differential games with terminal payoff is characterized. The necessary and sufficient condition for a given function to be a value of some differential game with terminal…
The Shapley value is commonly illustrated by roll call votes in which players support or reject a proposal in sequence. If all sequences are equiprobable, a voter's Shapley value can be interpreted as the probability of being pivotal, i.e.,…
American options in a multi-asset market model with proportional transaction costs are studied in the case when the holder of an option is able to exercise it gradually at a so-called mixed (randomised) stopping time. The introduction of…
The paper is concerned with a zero-sum continuous-time stochastic differential game with a dynamics controlled by a Markov process and a terminal payoff. The value function of the original game is estimated using the value function of a…
We provide an European option pricing formula written in the form of an infinite series of Black Scholes type terms under double Levy jumps model, where both the interest rate and underlying price are driven by Levy process. The series…
A class of discrete Bidding Combinatorial Games that generalize alternating normal play was introduced by Kant, Larsson, Rai, and Upasany (2022). The major questions concerning optimal outcomes were resolved. By generalizing standard game…
Since most of the traded options on individual stocks is of American type it is of interest to generalize the results obtained in semi-static trading to the case when one is allowed to statically trade American options. However, this…
We consider the general model of zero-sum repeated games (or stochastic games with signals), and assume that one of the players is fully informed and controls the transitions of the state variable. We prove the existence of the uniform…
In this paper, we solve the constant-payoff conjecture formulated by Sorin, Venel and Vigeral (2010), for absorbing games with an arbitrary evaluation of the stage rewards. That is, the existence of a pair of asymptotically optimal…