In arbitrage-free but incomplete markets, the equivalent martingale measure Q for pricing traded assets is not uniquely determined. A possible approach when it comes to choosing a particular pricing measure is to consider the one that is 'closest'to the physical probability measure P, where...

We analyze the regularity of the optimal exercise boundary for the American Put option when the underlying asset pays a discrete dividend at a known time $t_d$ during the lifetime of the option. The ex-dividend asset price process is assumed to follow Black-Scholes dynamics and the dividend...

We analyze the regularity of the optimal exercise boundary for the American Put option when the underlying asset pays a discrete dividend at a known time $t_d$ during the lifetime of the option. The ex-dividend asset price process is assumed to follow Black-Scholes dynamics and the dividend...

Most mortality models proposed in recent literature rely on the standard ARIMA-framework (in particular: a random walk with drift) to project mortality rates. As a result the projections are highly sensitive to the calibration period. We apply a modelling strategy for the time-dependent...