In this paper we study the pricing and hedging of arithmetic Asian basket spread options of the European type and present the main results of Deelstra et al. (2008). Asian basket spread options are written on a multivariate underlying. Thus we fi rst need to specify a fi nancial market model containing multiple stocks. We choose to use the famous Black and Scholes model. by: Griselda Deelstra, ...

MANY CLAIM that the mergers, leveraged buyouts, and restructurings in the U.S. corporate sector during the 1980s had a detrimental effect on industrial spending for research and development. Critics of this recent activity point to the stagnation in real R&D expenditures by the private sector during the 1980s and suggest that these restructurings were a major cause of the decline. I Others view...

Previous authors have calculated the mass function of primordial black holes only on scales which are well outside the horizon at the end of inflation. Here we extend the calculation to sub-horizon scales, on which the density perturbation never becomes classical. Regarding the formation of black holes as a ‘measurement’ of the (high peaks) of the density perturbation, we estimate a mass functi...

A modified narrow-width approximation that allows for O(Γ/M)-accurate predictions for resonant particle decay with similar intermediate masses is proposed and applied to MSSM processes to demonstrate its importance for searches for particle physics beyond the Standard Model.

This paper develops a closed-form option pricing formula for a spot asset whose variance follows a GARCH process. The model allows for correlation between returns of the spot asset and variance and also admits multiple lags in the dynamics of the GARCH process. The single-factor (one-lag) version of this model contains Heston’s (1993) stochastic volatility model as a diffusion limit and therefo...

The swelling of sponge-like bicontinuous mesophases of bilayers of surfactant (or lipid) in water as a function of dilution is analyzed. Analytic formulae for the swelling are derived assuming ii) constant aggregate thickness and (it) fixed surface area per surfactant molecule at an imaginary surface located within the bilayer. Approximate swelling laws are derived for bicontinuous films and co...

A formula is provided to compute the number of new blocks resulting from the decomposition induced by a shift of a single quadtree node of arbitrary size by an arbitrary amount. A precise calculation is also presented for the average number of BLACK nodes required to represent a square of width 2 m in a region quadtree.

In the original Black-Scholes model, the risk is quantified by a constant volatility parameter. It has been proposed by many authors that the volatilities should be modeled by a stochastic process to obtain a more realistic model. The volatility that corresponds to actual market data for option prices in Black-Scholes model is called the implied volatility. This volatility is in general depende...

Options are financial instruments designed to protect investors from the stock market randomness. In 1973, Fisher Black, Myron Scholes and Robert Merton proposed a very popular option pricing method using stochastic differential equations within the Itô interpretation. Herein, we derive the Black-Scholes equation for the option price using the Stratonovich calculus along with a comprehensive re...

The square root constant elasticity of variance (CEV) process has been paid little attention in previous research on valuation of barrier options. In this paper we derive analytical option pricing formulae of up-and-out options with this process using the eigenfunction expansion technique. We develop an efficient algorithm to compute numerical results from the formula. The numerical results are...