There is the need for applying numerical methods to problems that cannot be solved analytically and as the spatial dimension of the problem is increased the need for computational recourses increase exponentially, a phenomenon known as the “curse of dimensionality”. In the BlackScholes-Merton framework the American option pricing problem has no closed form solution and a numerical procedure has...

Infinite reload options allow the user to exercise his reload right as often as he chooses during the lifetime of the contract. Each time a reload occurs, the owner receives new options where the strike price is set to the current stock price. We consider a modified version of the infinite reload option contract where the strike price of the new options received by the owner is increased by a c...

With the advent of the next generation java servlet on the smartcard, the Future Internet will be composed by web servers and clients silently yet busily running on high end smart cards in our phones and our wallets. In this brave new world we can no longer accept the current security model where programs can be downloaded on our machines just because they are vaguely “trusted”. We want to know...

We value the option of subcontracting to improve Þnancial performance and system coordination by analyzing a competitive stochastic investment game with recourse. The manufacturer and subcontractor decide separately on their capacity investment levels. Then demand uncertainty is resolved and both parties have the option to subcontract when deciding on their production and sales. We analyze and ...

A variable annuity contract with Guaranteed Minimum Withdrawal Benefit (GMWB) promises to return the entire initial investment through cash withdrawals during the policy life plus the remaining account balance at maturity, regardless of the portfolio performance. We assume that market is complete in financial risk and also there is no mortality risk (in the event of policyholder death, the cont...

This paper mainly discusses the American option’s hedging strategies via binomial model and the basic idea of pricing and hedging American option. Although the essential scheme of hedging is almost the same as European option, small differences may arise when simulating the process for American option holder has more rights, spelling that the option can be exercised at anytime before its maturi...

In reverse supply chain of e-waste, collectors (collecting e-waste from all kinds of resources) and processors (disassembling and disposing e-waste) play key roles and have connections based on interests. We present a Stackelberg leader(collector)follower(processor) dynamic game model with profit maximization purpose. When the supply and demand are relatively clear, major risk for the processor...

I develop a principal-agent model to analyze the interaction among CEO’s equity holding portfolio, firm’s capital structure and executive compensation contract. Unlike a strand of literatures in corporate finance investigating only capital structure and compensation contract, this paper asks the question whether executive’s equity option holding and firm’s financial leverage jointly affect mana...

Effective and flexible procurement production strategies are capable of alleviating mitigating supply disruption demand risk. Considering the price fluctuation caused by environmental change, we investigate optimal under uncertainty based on option contract in a two-stage chain consisting retailer who has two opportunities supplier emergency chance. We explore value comparing it with decision m...