We present three approaches to value American continuous-installment options written on assets without dividends or with continuous dividend yield. In an American continuous-installment option, the premium is paid continuously instead of up-front. At or before maturity, the holder may terminate...

In an American continuous-installment option the premium, instead of being paid up-front, is paid at a certain rate per unit time. At any time at or before maturity date, the holder has the right to terminate payments and either exercise the option or "walk away" from deal. Under the standard...

This paper is concerned with the pricing of European continuous-installment options where the aim is to determine the initial premium given the installment payments schedule. The particular feature of this pricing problem is the determination, along with the initial premium, of an optimal...

The interdependence of financial markets combined with their volatility make the multivariate GARCH model a suitable econometric framework for analysing their behaviour. However, the non-availability of analytical derivatives in a general context and the computational heaviness resulting from a...

In this paper we present an implementation of a Newton method based on iterative Krylov subspace methods such as GMRES, QMR and BiCGSTAB for solving large nonlinear macroeconometric models. These methods are tested for the solution of the model MULTIMOD and the computational costs of the...

Constant improvement of computing facilities creates a trend to build always larger macroeconomic models. To master these huge and complex models, much effort must be spent to investigate their functioning, mostly by means of simulations or perturbations of their original structure. Such...

Climate change affects hydropower production by modifying total annual inflow volumes and their seasonal distribution. Moreover, increasing air temperatures impact electricity consumption and, as a consequence, electricity prices. All together, these phenomena may lead to a loss in revenue. We...