We treat real option value when the underlying process is arithmetic Brownian motion (ABM). In contrast to the more common assumption of geometric Brownian motion (GBM) and multiplicative diffusion, with ABM the underlying project value is expressed as an additive process. Its variance remains...

Risk-neutral valuation is used widely in derivatives pricing. It is shown in this paper, however, that the naïve approach of simply setting the growth rate of the underlying security to risk-free interest rate, which happens to work for a geometric Brownian motion (GBM) process, fails to work...

A new successive over-relaxation method to compute the Black-Scholes implied volatility is introduced. Properties of the new method are fully analysed, including global well-definedness, local convergence, as well as global convergence. Quadratic order of convergence is achieved by either a...

Vector Fitting is an effective technique for rational approximation of LTI systems. It has been extended to fit the magnitude of the transfer function in absence of phase data. In this paper, magnitude Vector Fitting is modified to work on inequalities which the magnitude of the transfer...

The main focus of this paper is the solution of some partial differential equations of fractional order. Promising methods based on matrix functions are taken in consideration. The features of different approaches are discussed and compared with results provided by classical convolution...

This paper initiates a research program to provide computer function routines that can be used to deliver critical values or significance levels for statistical tests. These routines are easily integrated into existing econometric software and can be made available on a user call basis. The...