Amaranthus tuberculatus is a major weed of crop fields in the midwestern United States. Making this weed particularly problematic to manage is its demonstrated ability to evolve resistance to herbicides. Herbicides to which A. tuberculatus has evolved resistance are photosystem II inhibitors, acetolactate synthase inhibitors, protoporphyrinogen oxidase inhibitors, and glyphosate. Many populatio...

We develop a new theory for pricing call type American options in complete markets which do not necessarily admit an equivalent local martingale measure. This resolve an open question proposed by Fernholz and Karatzas [Stochastic Portfolio Theory: A Survey, Handbook of Numerical Analysis, 15:89168, 2009].

Thi s a r t i c l e addres se s the p rob l em o f va lu ing Amer i can ca l l op t i ons w i th caps on d i v idendpaying assets . Since early exercise is al lowed, the valuat ion problem requires the determinat ion of opt imal exercise pol icies . Options with two t ypes o f caps a re ana ly zed cons tan t caps and caps with a constant growth rate. For constant caps, it is optimal to exercise...

In this short paper, we study the asymptotics for the price of call options for very large strikes and put options for very small strikes. The stock price is assumed to follow the Black–Scholes models. We analyze European, Asian, American, Parisian and perpetual options and conclude that the tail asymptotics for these option types fall into four scenarios.

In this paper we develop an algorithm to calculate prices and Greeks of barrier options driven by a class of additive processes. Additive processes are time-inhomogeneous Lévy processes, or equivalently, processes with independent but inhomogeneous increments. We obtain an explicit semi-analytical expression for the first-passage probability of an additive process with hyper-exponential jumps. ...

This paper presents a 3D model for pricing defaultable bonds with embedded call options. The pricing model incorporates three essential ingredients in the pricing of defaultable bonds: stochastic interest rate, stochastic default risk, and call provision. Both the stochastic interest rate and the stochastic default risk are modeled as a square-root diffusion process. The default risk process is...

Double no-touch options, contracts which pay out a fixed amount provided an underlying asset remains within a given interval, are commonly traded, particularly in FX markets. In this work, we establish model-free bounds on the price of these options based on the prices of more liquidly traded options (call and digital call options). Key steps are the construction of superand sub-hedging strateg...

We investigate the information content of the call (put) Early Exercise Premium, or EEP , defined as the normalized difference in prices between otherwise comparable American and European call (put) options. The call EEP specifically captures investors’ expectations about future lump sum dividend payments as well as other state variables such as conditional volatility and interest rates. From t...

Consider a model of a financial market with a stock driven by a Lévy process and constant interest rate. A closed formula for prices of perpetual American call options in terms of the overall supremum of the Lévy process, and a corresponding closed formula for perpetual American put options involving the infimum of the after-mentioned process are obtained. As a direct application of the previou...