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...

In this paper we study Binomial Models with random time steps. We explain, how calculating values for European and American Call and Put options is straightforward for the Random{Time Binomial Model. We present the conditions to ensure weak{convergence to the Black{Scholes setup and convergence of the values for European and American put options. Di erently to the CRR{model the convergence beha...

The objective of this paper is twofold. Firstly, to derive time-fractional evolution equation modeling the No-Arbitrage premium Asian option (with arithmetic and geometric averages ) contingent upon an underlying asset that satisfies fractional stochastic differential equation, in a setting when strike price fixed floating. Secondly, we have computed four versions put-call parities for options,...

This paper considered the notion of European option which is geared towards solving analytical and numerical solutions. In particular, we examined Black-Scholes closed form solution modified (MBS) partial differential equation using Crank-Nicolson finite difference method. These equations were approximated to obtain Call Put prices. The explicit price both options found accordingly. solutions c...

This research investigates how the price frame affects the consumer’s preference. Using qualitative methodology from the prospective of behavioral science, we find in the overall assessment of a product, the consumers have more selective attention and thus higher weight on secondary attributes under partitioned pricing than under combined pricing. That means in online selling, consumers pay mor...

The aim of this paper is to study the problem of optimality of replicating strategies associated with pricing of American contingent claims in the Cox–Ross–Rubinstein model with proportional transaction costs. We show that a replication of the option is always possible. We give sufficient conditions for the existence of a replicating strategy which is optimal, and also show an example of an opt...

Research ...nds that ...rms’ investment decisions are distorted by irreversibility and ...nance constraints. Whereas the existing literature examines the e¤ects of these features separately, this paper studies their interaction. The impact of these constraints on a ...rm’s incentive to invest is characterised using option pricing techniques. Financial constraints reduce the initial capacity, ra...

Our results find that futures contracts with different maturities for emissions allowances exhibit a significant cointegration relationship by using two-step EG model, similar market information has a convergent effect on prices spreads of futures contracts with different maturities. Convenience yields implied from the futures markets exhibit a significant options property. Convenience yields a...

The pricing of options is a very important problem encountered in nancial markets today. The famous Black-Scholes model provides explicit closed form solutions for the values of certain (European style) call and put options. But for many other options, either there are no closed form solutions, or if such closed form solutions exist, the formulas exhibiting them are complicated and diicult to e...