The objective of this paper is to elicit stakeholder preferences in relation to different Multiple Use Offshore Platforms (MUOP) designs produced by the TROPOS project (www.troposplatform.eu) for the Liuqiu Island, Taiwan using the Choice Experiment (CE) method. To authors/ acknowledge, this is...

In this paper, we consider the pricing of the CDS (credit default swap) under a GMFBM (generalized mixed fractional Brownian motion) model. As the name suggests, the GMFBM model is indeed a generalization of all the FBM (fractional Brownian motion) models used in the literature, and is proved to...

Economic interdependency of wildlife or fish stocks is usually attributed to ecological interdependency, such as predator - prey and competitive relationships, or to density dependent migration of species between different areas. This paper provides another channel for economic interdependency...

In this paper, an exact and explicit solution of the well-known Black-Scholes equation for the valuation of American put options is presented for the first time. To the best of the author's knowledge, a closed-form analytical formula has never been found for the valuation of American options of...

Accurately as well as efficiently calculating the early exercise boundary is the key to the highly nonlinear problem of pricing American options. Many analytical approximations have been proposed in the past, aiming at improving the computational efficiency and the easiness of using the formula,...

This paper studies the pricing of European-style Asian options when the price dynamics of the underlying risky asset are assumed to follow a Markov- modulated geometric Brownian motion; that is, the appreciation rate and the volatility of the underlying risky asset depend on unobservable states...

This paper investigates the pricing of European-style lookback options when the price dynamics of the underlying risky asset are assumed to follow a Markov-modulated Geo-metric Brownian motion; that is, the appreciation rate and the volatility of the underlying risky asset depend on unobservable...

This paper reports on the development of a two-dimensional, fully nonlinear Computational Fluid Dynamics (CFD) model to analyse the efficiency of fixed Oscillating Water Column (OWC) Wave Energy Conversion (WEC) devices with linear power take off systems. The model was validated against previous...

In this paper, we introduce the concept of multi-stage compound options to the valuation of convertible bonds (CBs). Rather than evaluating a nested high-dimensional integral that has arisen from the valuation of multi-stage compound options, we found that adopting the finite difference method...

This study presents an analytical exact solution for the price of VIX options under stochastic volatility model with simultaneous jumps in the asset price and volatility processes. We shall demonstrate that our new pricing formula can be used to efficiently compute the numerical values of a VIX...