This paper is concerned with the valuation of European continuous-installment options where the aim is to determine the initial premium given a constant installment payment plan. The distinctive feature of this pricing problem is the determination, along with the initial premium, of an optimal...

The real estate derivatives market allows participants to manage risk and return from exposure to property, without buying or selling directly the underlying asset. Such market is growing very fast hence the need to rely on simple yet effective pricing models is very great. In order to take into...

The real estate derivatives market allows participants to manage risk and return from exposure to property, without buying or selling directly the underlying asset. Such market is growing very fast hence the need to rely on simple yet effective pricing models is very great. In order to take into...

In an American continuous-installment option the premium, instead of being paid up-front, is paid at a certain rate per unit time. At any time at or before maturity date, the holder has the right to terminate payments and either exercise the option or "walk away" from deal. Under the standard...

The solution of a multistage stochastic programming problem needs a suitable representation of uncertainty which may be obtained through a satisfactory scenario tree construction. There is a trade-off between the level of accuracy in the description of the stochastic component and the...

We consider the problem of assessing new and existing technologies for their cost-effectiveness in the case where data on both costs and effects are available from a clinical trial, and we address it by means of the cost-effectiveness acceptability curve. The main difficulty in these analyses is...

Nel presente articolo si propone un nuovo modello per l'evoluzione del prezzo a pronti dell'elettricità basato sull'ipotesi che esistano due regimi diversi per la sua evoluzione: uno "normale" in cui i prezzi si discostano poco dai fattori che determinano il costo di produzione ed uno...

L'insider trading è configurato nella dottrina economica come una tipica asimmetria informativa ex ante; tale fenomeno prevede che la superiorità informativa di una parte a scapito dell'altra esiste ancora prima del verificarsi di un dato intervento. Solitamente l'insider trading viene visto ed...

the aim of this work is to estimate the structural parameters of a simultaneous equation system using both the Limited and Full Information Least Orthogonal Distance Estimator (Pieraccini, 1988; Naccarato, 2007). We compare the results - via simulation experiments – of LODE estimates with those...