This article discusses convergence problems when calculating Vega (option sensitivity to volatility) that arise from discretization errors embedded in the lattice approach. Four alternative improvements to the traditional binomial method are discussed and investigated for performance. We also propose a new Modified Binomial (MB) Method to calculate Vegas. Numerical results show that although th...

Software pricing has traditionally been focused on the vendor’s internal business objectives of covering costs, achieving specified margins, and meeting the competition. Pricing methods such as flat price, tiered pricing, MIPS-based, usage-based, per user, per seat, and pay as you go, are often tactical in nature and easily matched by competitors, which can undermine profitability by accelerati...

This paper gives a probabilistic interpretation of a class of nite diierence schemes often referred to as the-method. In particular, the present paper shows that for some parameter values the-method can been seen as a binomial tree with a random time.

A special inequality between the tail probabilities of certain related hypergeometrics was shown by Seneta and Phipps [19] to suggest useful ‘quasi-exact’ alternatives to Fisher’s [5] Exact Test. With this result as motivation, two inequalities of Hájek and Havránek [6] are investigated in this paper and are generalised to produce inequalities in the form required. A parallel inequality in bino...

A lookback option is an exotic that allows investors to look back at the underlying prices occurring over life of option, and exercise right assets optimal point. This paper proposes a mean-reverting stock model investigate in uncertain environment. The call put options pricing formulas are derived, corresponding numerical algorithms designed compute these two optio...

American options are financial contracts that allow exercise at any time until expiration. While the pricing of standard American option contracts has been well researched, with a few exceptions no analytical solutions exist. Valuation of more involved American option contracts, which include multiple underlying assets or pathdependent payoff, is still to a high degree an uncharted area. Most n...

We conducted a cross-sectional, random-digit-dial survey to evaluate public responses to a hypothetical question: "If someone you knew was suicidal, what would you do first?" Younger people were more likely to call a suicide hotline, and less likely to go to an emergency room (ER) or call 911; immigrants (in the U.S. < 15 years) were more likely to call 911, and less likely to call a suicide ho...

We will in some places restrict attention to puts, by put-call parity: for realized variance options, a long-call short-put combination pays [X]T −Q, equal to a Q-strike variance swap; and for realized volatility options, a long-call short-put combination pays [X] T − Q1/2, equal to a Q1/2-strike volatility swap. Unlike variance swaps [EQF07/024, EQF07/045], which admit exact model-free (assumi...