In this paper, we apply Carr’s randomization approximation and the operator form of theWiener-Hopf method to double barrier options in continuous time. Each step in the resulting backward induction algorithm is solved using a simple iterative procedure that reduces the problem of pricing options with two barriers to pricing a sequence of certain perpetual contingent claims with first-touch sing...

Introduced by Kifer (2000), game options function in the same way as American options with the added feature that the writer may also choose to exercise at which time they must pay out the intrinsic option value of that moment plus a penalty. In Kyprianou (2004) an explicit formula was obtained for the value function of the perpetual put option of this type. Crucial to the calculations which le...

(a) The observed bidding patterns depend on the type of asset under evaluation. In particular, subject behavior when buying or selling a basic lottery seems much more cautious than their behavior when buying or selling options on that lottery. (b) The observed bidding patterns also depend on subject positions with respect to the underlying asset. In particular, the bids for buying lotteries and...

This paper extends Lucas (1978) to a production economy with two capital goods. It is an RBC model in which each unit of investment requires a new idea, an “option”. When options are scarce, new capital is harder to put in place and the value of old capital rises. Thus the stock market and Tobin’s Q are negative indexes of intangibles. During a boom, Q rises gradually, as options are used up. B...

Options in the stock market are a form of risk management that can help protect investors from various potential liabilities. Increased demand for derivatives is reflected higher trading volumes every day. Over time, it has been easier regular to get their hands on derivatives. The major Indian exchanges trade wide range financial goods, including This article explains how F&O National Stoc...

this book received such publicity at the time of its publication that there must be few who do not know what it is about. Briefly, it is the result of a four years study by a research team, headed by Dr. Pauline Morris, principal lecturer in Sociology at the Borough Polytechnic, London, of the physical, psychological and sociological environment which institutions provide for the mentally handi...

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.