In this paper, the American exchange option (AEO) valuation problem is modelled as a free boundary problem. The critical stock price for an AEO is satisfied an integral equation implicitly. When the remaining time is large enough, an asymptotic formula is provided for pricing an AEO. The numerical results reveal that our asymptotic pricing formula is robust and accurate for the long-term AEO. K...

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...

some persian proverbs concern a problem and how to encounter it. the present paper seeks to examine such proverbs. findings indicate that in the analyzed proverbs, force image schemas have three options. in the first option, a problem is depicted as a barrier that cannot be removed. in these proverbs, there is no recommendation or solution for solving the problem. in the second option, the prob...

The valuation and applications of one-touch double barrier binary options that include features of knock-out, knock-in, European and American style are described. Using a conventional Black Ð Scholes option-pricing environment, analytical solutions of the options are derived. The relationships among di€ erent types of one-touch double barrier binary options are discussed. An investor having a p...

European Range Accrual Option pricing and deviation Formula has been deduced through observing the foundational asset probabilistic distribution characteristics with help of Ito’s lemma, relaxing boundary assumption to infinity zero respectively, classical Black-Scholes option formula worked out. This paper subsequently articulates numerical value simulated computation algorithm using...

In this paper we analyse financial implications of exchangeability and similar properties of finite dimensional random vectors. We show how these properties are reflected in prices of some basket options in view of the well-known put-call symmetry property and the duality principle in option pricing. A particular attention is devoted to the case of asset prices driven by Lévy processes. Based o...

Abstract   We extend the concept of dynamic pricing by integrating it with “overselling with opportunistic cancellation” option, within the framework of dynamic policy. Under this strategy, to sell a stock of perishable product (or capacity) two prices are offered to customers at any given time period. Customers are categorized as high-paying and low-paying ones. The seller deliberately oversel...

A barrier option is a derivative contract that is activated or extinguished when the price of the underlying asset crosses a certain level. Most models assume continuous monitoring of the barrier. However, in practice, most, if not all, of the barrier options traded are discretely monitored. Unlike their continuous counterparts, there is essentially no closed form solution available, and even n...