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booklet in German entitled Theorie der Prämiengeschäfte (Theory of Premium Contracts) which is an old type of option contract …'s early work to light again and adds an almost forgotten piece of research to the theory of option pricing. …
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We derive closed form solutions to the discounted optimal stopping problems related to the pricing of the perpetual American standard put and call options in a diffusion model with piecewise-linear coefficients. The method of proof is based on the reduction of the initial optimal stopping...
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With the innovation of derivatives, the Standard and Poor's (S&P) 500 index -- as an underlying asset of the volatility index (VIX) introduced by the Chicago Board Options Exchange (CBOE) -- was adopted as the research subject in this study. Since the financial crisis of 2008, the degree of...
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The pioneering application by Bass of an epidemiological model to the diffusion of a new consumer durable has stimulated considerable interest in the marketing profession. Many subsequent applications of the model have dealt with new product sales forecasting and optimal marketing mix strategies...
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Turbo warrant is a special type of barrier options in which the rebate is calculated as another exotic option. In this paper, using Laplace transforms we obtain the valuation of turbo warrants under mixed-exponential jump diffusion model, which is able to approximate any jump size distribution....
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We obtain lower and upper bounds on option prices in one-dimensional jump-diffusion markets with point process components. Our proofs rely in general on the classical Kolmogorov equation argument and on the propagation of convexity property for Markov semigroups, but the bounds on intensities...
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