In this paper we look at the PBC problem through the lens of uncertainty. The feedback control used by us is the famous NKPC with stochasticity and wage rigidities. We extend the NKPC model to the continuous time stochastic set up with an Ornstein-Uhlenbeck process. We minimize relevant expected...

We propose a partial integro-differential equation (PIDE) and a closed-form pricing formula for floating type look-back option when stock price follows exponential Levy process. We first develope a PIDE based on martingale method and from there derive a closed-form formula for pricing contracts....

We propose a stochastic model to develop a partial integro-differential equation (PIDE) for pricing and pricing expression for fixed type single Barrier options based on the Itô-Lévy calculus with the help of Mellin transform. The stock price is driven by a class of infinite activity Lévy...