The pricing of American call option with transaction cost is a free boundary problem. Using a new transformation method the boundary is made to follow a certain known trajectory in time. The new transformed problem is solved by various finite difference methods, such as explicit and implicit schemes. Broyden’s and Schubert’s methods are applied as a modification to Newton’s method in the case o...

Along with the well-known “call-put parity” relation, that makes it possible to express the rational price of a put option in terms of the rational price of a call option, we introduce a “call-put duality” relation. This new concept offers a simple explanation of the relationship between the rational price of a put option and a call option, not only for options of the European type, but also fo...

We present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i.e., not limited to geometric Brownian motion) for which European call option prices are readily available. By approximating the value function with an appropriately chosen interpolation function, the pricing of an American-style derivative with arbitrary payoff function is converted to...

Background: Potato has a narrow genetic base which is due to its development, as it takes its genetic root from a few genotypes originated from South America. Objectives: The objective of this study was to assess the genetic relationships among potato (Solanum tuberosum L.) genotypes originated from different geographical regions.Materials and Methods: This study has rendered 25 use...

W present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i.e., not limited to geometric Brownian motion) for which European call-option prices are readily available. By approximating the value function with an appropriately chosen interpolation function, the pricing of an American-style derivative with arbitrary payoff function is converted to ...

This paper presents the Runge–Kutta–Legendre (RKL) finite difference scheme, allowing for an additional shift in its polynomial representation. A short presentation of stability region, comparatively to Runge–Kutta–Chebyshev scheme follows. We then explore problem pricing American options with RKL under one factor Black–Scholes and two Heston stochastic volatility models, as well butterfly spre...

This paper develops a new pricing model for American-style indexed executive stock options. We rely on a basic model framework and an indexation scheme first proposed by Johnson and Tian (2000a) in their analysis of European-style indexed options. Our derivation of the valuation formula represents an instructive example of the usefulness of the change-of-numeraire technique. In the paper’s nume...