abstract title: modify and terminate the contract if financial impossibility the financial performance impossible of the contract set forth because of the financial inability of one who undertake stems from external factors and attributing to the contracting parties is impossible. in the event of financial impossibility the present procedures (based on existing regulation) the possibility of th...

We present three approaches to value American continuous-installment calls and puts and compare their computational precision. In an American continuous-installment option, the premium is paid continuously instead of up-front. At or before maturity, the holder may terminate payments by either exercising the option or stopping the option contract. Under the usual assumptions, we are able to cons...

We develop a simple robust link between deep out-of-the-money American put options on a company’s stock and a credit insurance contract on the company’s bond. We assume that the stock price stays above a barrier B before default but drops below a lower barrier A after default, thus generating a default corridor [A, B] that the stock price can never enter. Given the presence of this default corr...

The paper is focused on numerical approximation of early exercise boundary within American put option pricing problem. Assuming non-dividend paying, American put option leads to two disjunctive regions, a continuation one and a stopping one, which are separated by an early exercise boundary. We present variational formulation of American option problem with special attention to early exercise a...

Following the economic rationale of [7] and [8] we present a new class of Asian options where the holder enjoys the early exercise feature of American options whereupon his payoff (deliverable immediately) is the ‘best prediction’ of the European payoff under the hypothesis that the true drift of the stock price equals a contract drift. Inherent in this is a protection feature which is key to t...

any reasonable person concludes a contract in order to attain (a) purpose(s). it sometimes arises that unforeseen occurrences, subsequent to the date of the contract, make worthless the promisee’s counter-performance for promisor without it has been become physically impossible or impracticability. this situation is analyzed under the doctrine of “frustration of purpose” in american law. nevert...

The aim of this paper is to price an American style option when there is uncertainty on the volatility of the underlying asset. An option contract can be either European or American style depending on whether the exercise is possible only at or also before the expiry date. A European option gives the holder the right to buy or sell the underlying asset only at the expiry date of the option. On ...

In this paper we extend the Least Squares Monte Carlo approach proposed by Longstaff and Schwartz for the valuation of American-style contingentclaims to the case of life insurance contracts. These contracts, in fact, often embed an American-style option, called surrender option, that entitles its owner to early terminate the contract and receive a cash amount, called surrender value. The addit...

When evaluating and signing players, Major League Baseball teams face incomplete information regarding a player’s true value. This paper explores how teams deal with such uncertainty and whether their approaches toward high-risk free agent signings and low-risk contract option decisions differ. I use seemingly unrelated regression to estimate the relationships between past performance and futur...