Given that the options market is now very large and significant part of the trade of financial instruments, the evaluation of pricing of these derivatives becomes very important for regulators as well as market participants. The value of an option can be estimated by using a variety of quantitative techniques based on the concept of risk neutral pricing. In the famous Black-Scholes pricing form...

We study the conditions for 2-dimensional dilaton gravity models to have dynamical formation of black holes and construct all such models. Furthermore we present a parametric representation of the general solutions of the black holes.

In this paper we study the pricing and hedging of arithmetic Asian basket spread options of the European type and present the main results of Deelstra et al. (2008). Asian basket spread options are written on a multivariate underlying. Thus we fi rst need to specify a fi nancial market model containing multiple stocks. We choose to use the famous Black and Scholes model. by: Griselda Deelstra, ...

MANY CLAIM that the mergers, leveraged buyouts, and restructurings in the U.S. corporate sector during the 1980s had a detrimental effect on industrial spending for research and development. Critics of this recent activity point to the stagnation in real R&D expenditures by the private sector during the 1980s and suggest that these restructurings were a major cause of the decline. I Others view...

Previous authors have calculated the mass function of primordial black holes only on scales which are well outside the horizon at the end of inflation. Here we extend the calculation to sub-horizon scales, on which the density perturbation never becomes classical. Regarding the formation of black holes as a ‘measurement’ of the (high peaks) of the density perturbation, we estimate a mass functi...

A modified narrow-width approximation that allows for O(Γ/M)-accurate predictions for resonant particle decay with similar intermediate masses is proposed and applied to MSSM processes to demonstrate its importance for searches for particle physics beyond the Standard Model.

The swelling of sponge-like bicontinuous mesophases of bilayers of surfactant (or lipid) in water as a function of dilution is analyzed. Analytic formulae for the swelling are derived assuming ii) constant aggregate thickness and (it) fixed surface area per surfactant molecule at an imaginary surface located within the bilayer. Approximate swelling laws are derived for bicontinuous films and co...

A formula is provided to compute the number of new blocks resulting from the decomposition induced by a shift of a single quadtree node of arbitrary size by an arbitrary amount. A precise calculation is also presented for the average number of BLACK nodes required to represent a square of width 2 m in a region quadtree.

In this essay, I mainly discuss how to price and hedge options in stochastic volatility (SV) models. The market is incomplete in the SV model, whereas it is complete in the Black-Scholes model. Thus the option pricing and hedging methods are a little different for the SV model and for the Black-Scholes model. The no-arbitrage argument and the risk-neutral valuation method are two general method...