In this paper, we focus on two-factor lattices for general diffusion processes with state-dependent volatilities. Although it is common knowledge that branching probabilities must be between zero and one in a lattice, few methods can guarantee lattice feasibility, referring to the property that...

This paper utilizes the static portfolio approach of Derman, Ergener, and Kani (1995) and Carr, Ellis, and Gupta (1998) to hedge and price American options under the Black-Scholes (1973) model and the constant elasticity of variance (CEV) model of Cox (1975). The static hedge portfolio (SHP) of...

In this paper, we focus on two-factor lattices for general diffusion processes with state-dependent volatilities. Although it is common knowledge that branching probabilities must be between zero and one in a lattice, few methods can guarantee lattice feasibility, referring to the property that...

This study investigates the convergence patterns and the rates of convergence of binomial Greeks for the CRR model and several smooth price convergence models in the literature, including the binomial Black–Scholes (BBS) model of Broadie M and Detemple J (<link href="#bib1">1996</link>), the flexible binomial model...

This study investigates the influence of old directors on corporate social responsibility (CSR) using roughly 25,000 firm-year observations from 2001 to 2015 in the United States. We employ the widely used selection, optimization, and compensation (SOC) model from psychology to explain the CSR...

Two models are examined in this study, namely, one incorporating exogenous investment and one incorporating endogenous investment and R&D uncertainty. A lump-sum subsidy results in larger net tax revenues than does lowering the profit tax rate in the former model, while this may not be the case...

This paper investigates the convergence patterns and the rates of convergence of binomial Greeks for the CRR model and several smooth-convergence models in the literature, including the binomial Black-Scholes (BBS) model of Broadie and Detemple (1996), the flexible binomial model (FB) of Tian...

This study investigates the value of two variance components and variance jumps in the pricing of VIX derivatives. In an attempt to significantly reduce the computational burden, we propose an efficient numerical technique for the pricing of VIX derivatives under the affine framework. Our...

We derive the closed-form pricing formula for CDD/HDD futures under a proposed and generalized model with the empirical application. According to the proposed model, the conditional variance of the daily average temperature (DAT) is composed of three components: based level of the seasonal...

This article illustrates the impact of both spot and option liquidity levels on option prices. Using implied volatility to measure the option price structure, our empirical results reveal that even after controlling for the systematic risk of Duan and Wei (2009), a clear link remains between...