applied in Part II to study the Snell envelop and american options. The measurability and right-continuity of the former is …

In this paper, we compare option contracts from a traditional derivatives exchange to bank-issued options, also … counterparty for bank-issued options, they frequently exist side-by-side, and the empirical evidence shows that there is …-issued options have smaller quoted percentage bid-ask spreads than traditional option contracts by an average of 4.3%. The bid …

-issued options. These markets exist side-by- side, offering many options with identical or similar characteristics. We motivate the …

and market risk. We further discuss briefly the hedging of European options along with the local risk minimization … stochastic volatility models. And, we propose both a new vision and a general framework for valuing European options in the light … principle. Specifically, we attempt to find a strategy, which dominates the usual partial hedging technique often imposed by …

(floating leg of the OIS). The second is options on the composition. In both cases we study both continuous and discrete … composition. We provide explicit formulas within the HJM one-factor models with deterministic volatility together with hedging …

We present an explicit formula for European options on coupon bearing bonds and swaptions in the Heath … provide also an explicit way to compute the hedging ratio (Delta) to hedge the option with its underlying. …

). The main paper conclusion is that the hedging widely (up to 10\% of the underlying risk) between the model, specially with …

We compare single factor Markov-functional and multi factor market models for hedging performance of Bermudan swaptions …. We show that hedging performance of both models is comparable, thereby supporting the claim that Bermudan swaptions can …