This paper considers the pricing of European call options written on pure endowment and deferred life annuity contracts, also known as guaranteed annuity options. These contracts provide a guarantee value at maturity of the option. The contract valuation is dependent on stochastic interest rate...

This paper considers the pricing of European call options written on pure endowment and deferred life annuity contracts, also known as guaranteed annuity options. These contracts provide a guaranteed value at the maturity of the option. The contract valuation is dependent on the stochastic...

The purpose of this study was to segment mature travellers based on their motivations and to profile the similarities and differences between mature travel market segments according to their sociodemographic and travel-related characteristics. A total of 217 respondents (50 years old and above)...

The purpose of this study was to examine the influence of past travel experience (i.e., number of trips and number of days away from home in last year), and on mature travelers’ quality of life (i.e., self-perceived health and global life satisfaction). A total number of 217 respondents...

International comparisons of educational systems are commonly practiced using subjective methods available in literature. The use of subjective methods can lead to non-standard ranking; each individual investigator inputs his or her own subjective judgment when assigning weights to measurements...

The rapid development of Geographic Information System (GIS) and Global Position System (GPS) has attracted the attention of both business practitioners and academic researchers. GIS and GPS technologies, through providing optimized schedules, routings, and guidance, are especially important and...

The purpose of this study was to segment mature travellers based on their motivations and to profile the similarities and differences between mature travel market segments according to their sociodemographic and travel-related characteristics. A total of 217 respondents (50 years old and above)...

Research on the pricing of multifactor American options has been growing at a slow pace due to the curse of dimensionality. If we start to consider the pricing of American option contracts written on more than one underlying asset or relax the constant volatility assumption of the Black and...

This paper extends the integral transform approach of McKean [<italic>Ind. Manage. Rev.</italic>, 1965, <bold>6</bold>, 32--39] and Chiarella and Ziogas [<italic>J. Econ. Dyn. Control</italic>, 2005, <bold>29</bold>, 229--263] to the pricing of American options written on more than one underlying asset under the Black and Scholes [<italic>J. Polit. Econ.</italic>, 1973,...</bold>

In this paper we consider the pricing of an American call option whose underlying asset dynamics evolve under the influence of two independent stochastic volatility processes of the Heston (1993) type. We derive the associated partial differential equation (PDE) of the option price using hedging...