The aim of this paper is to obtain the valuation formulas for European and barrier options if the underlying of the option contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5. The paper is build upon the framework developed in Necula (2007) for...

The aim of this paper is to develop a continuous time general equilibrium model for a two country Lucas type economy. The model assumes that the output in the two countries follows a jump-diffusion stochastic process. We obtain the results concerning the evaluation of financial assets, the...

Is the American put option in the Black-Scholes model simply an incognito European one? In this paper, we develop a numerical procedure, in the context of the Black-Scholes model, to approximate the payoff of a European type option that generates prices that are equal to the prices of the...

In this paper, we prove, in the context of the Black-Scholes-Merton model, that the price of the American put option in the continuation region is equal to that of a European option with an equivalent payoff. We discuss the extension of the result for other one-dimensional option pricing models....