Many e±cient and accurate analytical methods for pricing American options now exist. However, while they can produce accurate option prices, they often do not give accurate critical stock prices. In this paper, we propose two new analytical approximations for American options based on the...

We present a quasi-analytical method for pricing multi-dimensional American options based on interpolating two arbitrage bounds, along the lines of Johnson (1983). Our method allows for the close examination of the interpolation parameter on a rigorous theoretical footing instead of empirical...

A new successive over-relaxation method to compute the Black-Scholes implied volatility is introduced. Properties of the new method are fully analyzed, including global well-definedness, local convergence, as well as global convergence. Quadratic order of convergence is achieved by either a...

The paper investigates the impact of delayed tax revenues on the fiscal policy out-comes. Choosing the delay as a bifurcation parameter we study the direction and the stability of the bifurcating periodic solutions. We show when the system is stable with respect to the delay. Some numerical...

The aim of this paper is to develop an algorithm for calculating and plotting payoff of option strategies for a portfolio of path independent vanilla and exotic options. A general algorithm for calculating the vector matrix for any arbitrary combination strategy is also developed for some of the...

In this article we consider the modeling principles and model for estimation of tension of international relations of a country with other countries. We use the tension of international relations as partial indicator of international political-economical country-risk. The model bases on...

According to theories of cultural neuroscience, Westerners and Easterners may have distinct styles of cognition (e.g., different allocation of attention). Previous research has shown that Westerners and Easterners tend to utilize analytical and holistic cognitive styles, respectively. On the...

In this article the algorithm for the decision of alternatives' estimation problems for following conditions is considered. Values of alternative's characteristics (properties) are fuzzy. They are formalized as fuzzy sets. The estimation criteria structure is network-like and is formalized as...

In this article the theoretical generalization for representation of arithmetic operations with fuzzy numbers is considered. Fuzzy numbers are generalized by means of fuzzy measures. On the basis of this generalization the new algorithm of fuzzy arithmetic which uses a principle of entropy...

This work is devoted to the pharmacoeconomic analysis of the results of the introduction of early (preclinical) diagnosis of Parkinson's disease in Russia. On the basis of a combination of socio-economic determinants and a panel of blood biomarkers, it may be possible to identify among the...