In this paper, we derive closed form solution for Russian option with jumps. First, we discuss the pricing of Russian options when the stock pays dividends continuously. Secondly, we derive the value function of Russian options by solving the ordinary differential equation with some conditions...

Because of its very general formulation, the local volatility model does not have an analytical solution for European options. In this article, we present a new methodology to derive closed form solutions for the price of any European options. The formula results from an asymptotic expansion,...

Within a unified theory for stocks and corporate bonds, based on dynamic optimization by investors, this paper derives analytical expressions for the momentary distributions of expected price, respectively known to approximate lognormal with systematic deviations (high peak, fat tail) and double...

This paper introduces a parametric specification test for dissusion processes which is based on a bootstrap procedure that accounts for data dependence and parameter estimation error. The proposed bootstrap procedure additionally leads to straightforward generalizations of the conditional...

We study the novel three-species reaction–diffusion processes of scale-free networks that are significantly different from numerical calculations manipulated on regular and small-world lattices. The inverse particle density for the three-species process scales according to the power-law with a...