We introduce time-inhomogeneous stochastic volatility models, in which the is described by a nonnegative function of Volterra type continuous Gaussian process that may have very rough sample paths. The main results obtained paper are path and small-noise large deviation principles for log-price super model under mild restrictions. use these to study asymptotic behavior binary barrier options, e...

Inherent Safety is generally recognised as an important concept in the design of chemical plants. It is, however, often regarded as the sole province of engineers. Inspired by the successful development in the last decade from cleaner technology towards cleaner production, we explored in this research the feasibility of what we call Inherently Safer Production. Four pilot cases were carried out...

We consider the problem of identifying a good option out of finite set of options under combinatorially structured, noisy feedback about the quality of the options in a sequential process: In each round, a subset of the options, from an available set of subsets, can be selected to receive noisy information about the quality of the options in the chosen subset. The goal is to identify the highes...

Some event managers and ticket resellers offer call options under which a customer can pay a small amount now for the guaranteed option to attend a future sporting event by paying an additional amount later. We consider the case of tournament options in which the identity of the two teams playing in a tournament final such as the Super Bowl or the World Cup final are unknown at the time that op...

Options can be used to hedge certain risks and achieve the purpose of hedging. Due short time market zinc options, there is few relevant research at present. This paper selects hedging case Henan Yuguang Gold & Lead Co Ltd.’s use options construct a bull call option spread strategy in May 2021 uses analysis method analyze effect Ltd.'s strategy. Analysis unavoidable risks, combined with oth...

This study estimates the value of the early exercise premium in American put option prices using Swedish equity options data. The value of the premium is found as the deviation of the American put price from European put-call parity, and in addition a theoretical estimate of the premium is computed. The empirically found premium is also used in a modified version of the control variate approach...

We propose a quasi-Monte Carlo (qMC) algorithm to simulate variates from the normal inverse Gaussian (NIG) distribution. The algorithm is based on a Monte Carlo technique found in Rydberg (Rydberg 1997), and is based on sampling three independent uniform variables. We apply the algorithm to three problems appearing in finance. First, we consider the valuation of plain vanilla call options and A...

In a competitive electricity market traditional demand side management options offering customers curtailable service at reduced rates are replaced by voluntary customer responses to electricity spot prices. In this new environment, customers wishing to ensure a fixed electricity price while taking advantage of their flexibility to curtail loads can do so by purchasing a forward electricity con...

We consider a discretionary stopping problem that arises in the context of pricing a class of perpetual American-type call options, which include the perpetual American, Russian and lookback-American call options as special cases. We solve this genuinely two-dimensional optimal stopping problem by means of an explicit construction of its value function. In particular, we fully characterise the ...

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...