In this paper, we have established a new framework of truncated inverse sampling for estimating mean values of non-negative random variables such as binomial, Poisson, hypergeometrical, and bounded variables. We have derived explicit formulas and computational methods for designing sampling schemes to ensure prescribed levels of precision and confidence for point estimators. Moreover, we have d...

The question of optimal strategic asset allocation for investors with behavioural utilities saving for retirement is addressed. To date this problem has been studied assuming that an investor is rational in the sense when making investment decisions the preference relation of the investor satisfies all the axioms of choice. Research in behavioural science indicates that investment related decis...

This report proposes a method to price spread options on stochastically correlated underlying assets. Therefore it provides a more realistic approach towards correlation structure. We generalize a constant correlation tree model developed by Hull (2002) and extend it by the notion of stochastic correlation. The resulting tree model is recombining and easy to implement. Moreover, the numerical c...

The paper is devoted to optimal superreplication of European options in the discrete setting under proportional transaction costs on the underlying asset. In particular, general pricing and hedging algorithms are developed. This extends previous work by many authors, which has been focused on the binomial tree model and options with specific payoffs such as calls or puts, often under certain bo...

Abstract Adaptation pathways have been conventionally viewed as an approach for planning and identifying different adaptation options the ways in which they can be realized. However, there has scant consideration of wide diversity cultural social processes shape how emerge. We argue that a lens sheds light on differential vulnerability enable or hinder adaptation. A focuses intrinsically inters...

we use the basic binomial option pricing method but allow someor all the parameters in the model to be uncertain and model this uncertaintyusing fuzzy numbers. we show that with the fuzzy model we can, with areasonably small number of steps, consider almost all possible future stockprices; whereas the crisp model can consider only n + 1 prices after n steps.

A binomial lattice based framework for the analysis of finite investment options with finite operational phase is developed. Solutions for European and American type finite horizon investment options with optimal capital structure and a multi-stage investment setting with multiple debt issues are discussed. The analysis shows that optimal leverage ratios are not affected by option moneyness at ...

Locational marginal pricing (LMP) is a widely employed method for pricing electricity in the wholesale electricity market. Although it is well known that the LMP mechanism is vulnerable to market manipulation, there is little literature providing a systematic analysis of this phenomenon. In the first part of this paper, we investigate the economic dispatch outcomes of the LMP mechanism with str...

In this paper, we present a non-commutative version of some portions of finance theory, including theory of arbitrage, asset princing, and optional decomposition in financial markets based on finite dimensional quantum probability spaces. The binomial model (or, the CRR-model) is studied in the non-commutative setting, and in particular, we prove that a single-step model in non-commutative sett...

In this paper, we discuss statistical families P with the property that if the distribution of a random variable X is in P, then so is the distribution of ZwBi(X, p) for 0%p%1. (Here we take ZwBi(X, p) to mean that given XZx, Z is a draw from the binomial distribution Bi(x, p).) It is said that the family is closed under binomial subsampling. We characterize such families in terms of probabilit...