farsi and english are both indo-european languages with similarities in their roots. as such, this experiment was conducted to understand which english accent (i.e. american, british or australian accents) would be easier for iranians to adapt. to answer this question, 30 medical students performed three different activities of (i) listening to audio texts in three accents, (ii) taking part in ...

This study estimates the value of the early exercise premium in American put option prices using Swedish equity options data. The value of the premium is found as the deviation of the American put price from European put-call parity, and in addition a theoretical estimate of the premium is computed. The empirically found premium is also used in a modified version of the control variate approach...

We present a finite difference method for solving parabolic partial integro-differential equations with possibly singular kernels which arise in option pricing theory when the random evolution of the underlying asset is driven by a Lévy process or, more generally, a time-inhomogeneous jumpdiffusion process. We discuss localization to a finite domain and provide an estimate for the localization ...

in recent years, the number of research works devoted to applying the highly accurate numerical schemes, in particular compact finite difference schemes, to numerical simulation of complex flow fields with multi-scale structures, is increasing. the use of compact finite-difference schemes are the simple and powerful ways to reach the objectives of high accuracy and low computational cost. compa...

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.

We consider options that pay the complexity deficiency of a sequence of up and down ticks of a stock upon exercise. We study the price of European and American versions of this option numerically for automatic complexity, and theoretically for Kolmogorov complexity. We also consider run complexity, which is a restricted form of automatic complexity.

We discuss a number of numerical methods that approximate the solution of the Partial Integro Differential Equation (PIDE) that models contingent claims with jumps. Starting with the Merton jump model for the underlying asset we motivate how to find the corresponding PIDE that models a derivative quantity on that asset. We pose the PIDE in a form that becomes amenable to a solution using the fi...

We discuss option pricing problems under a new model of stock fluctuations. This model captures the information distribution among investors by adjoining a hidden Markov process to the Black-Scholes exponential Brownian motion model. We provide new valuations for various standard hedge options, such as European, perpetual American and look-back options.