The celebrated Black-Scholes di.erential equation provides for the price of a 0nancial derivative. The uncertainty environment of such option price can be described by the classical ‘bit’: a system with two possible states. This paper argues for the introduction of a di.erent uncertainty environment characterized by the so called ‘qubit’. We obtain an information-based option price and discuss ...

In the paper I study profitability of the name-your-own-price mechanism (NYOP) in the presence of risk-averse buyers. First, I provide conditions that guarantee that for the monopolistic seller the NYOP is more profitable than the posted-price. Second, I consider a more competitive framework where buyers with rejected bids have access to an alternative option. I show that if under the posted-pr...

A knock-in American option under a trigger clause is an option contract in which the option holder receives an American option conditional on the underlying stock price breaching a certain trigger level (also called barrier level). We present analytic valuation formulas for knock-in American options under the Black-Scholes pricing framework. The price formulas possess different analytic represe...

Line 5 in the first paragraph of [1] under the section Option basics appeared as follows: “A call option gives the buyer of the option the right to buy the underlying asset at a fixed price (strike price or K) at any time prior to the expiration date of the option.” It is commonplace in derivatives literature to denote the strike or exercise price as K (e.g., refer to http://www.duke.edu/∼charv...

In this text, Fractional Brown Motion theory during random process is applied to research the option pricing problem. Firstly, Fractional Brown Motion theory and actuarial pricing method of option are utilized to derive Black-Scholes formula under Fractional Brown Motion and form corresponding mathematical model to describe option pricing. Secondly, based on BYD stock, estimation model on volat...

We present a new put option where the holder enjoys the early exercise feature of American options whereupon his payoff (deliverable immediately) is the ‘best prediction’ of the European payoff under the hypothesis that the true drift of the stock price equals a contract drift. Inherent in this is a protection feature which is key to the British put option. Should the option holder believe the ...

Alongside the British put option [11] we present a new call option where the holder enjoys the early exercise feature of American options whereupon his payoff (deliverable immediately) is the ‘best prediction’ of the European payoff under the hypothesis that the true drift of the stock price equals a contract drift. Inherent in this is a protection feature which is key to the British call optio...

This study proposes a materials procurement contracts model to which the zero-cost collar option is applied for heading price fluctuation risks in construction.The material contract model based on the collar option that consists of the call option striking zone of the construction company(the buyer) following the materials price increase andthe put option striking zone of the material vendor(th...