We derive general integral representation of the price formulas for European options whose terminal payoff involves path dependent lookback variables. The intricacies in the derivaiton procedures using partial differential equation techniques stem from the degenerate nature of the pricing models, where the lookback state variables appear only in the auxiliary conditions but not in the governing...

This paper introduces a technique to style and develop a completely pipelined and optimized design for Floating Point embedded processor in FPGA exploitation IEEE 754 format. The Floating purpose embedded processor performs many operations such as FP-Arithmetic, FP-Logical, FP-Trigonometric, FP-Vector, FP-Complex, FP-Signed, FP-Unsigned. In an exceedingly existing system, a fixed point illustra...

This study reports of a series of experiments of the proposed Swedish-Norwegian green certificates market. The experiments were carried out at NTNUs Experimental Economics Energy Market Laboratory (EEEMiL) using graduate students from engineering and economics as subjects. The main purpose of the experiments was to test how a) floating versus fixed price caps and b) banking of TGCs influenced t...

This paper studies symmetries between fixed and floating-strike Asian options and exploits this symmetry to derive an upper bound for the price of a floating-strike Asian. This bound only involves fixed-strike Asians and vanillas, and can be computed simply given one of the many efficient methods for pricing fixed-strike Asian options. The bound is exact until after the averaging has begun and ...

We derive a closed form solution to the perpetual American floating strike lookback option as well as its critical asset price on the basis of PDE approach. Numerical experiments are also given to verify the validity of the closed form solution.

We show that the optimal stopping boundary for the early exercise Asian call option with floating strike can be characterized as the unique solution of a nonlinear integral equation arising from the early exercise premium representation (an explicit formula for the arbitrage-free price in terms of the optimal stopping boundary). The key argument in the proof relies upon a local time-space formula.

the purpose of this research was to prepare a floating matrix tablet containing domperidone as a model drug. polyethylene oxide (peo) and hydroxypropyl methylcellulose (hpmc) were evaluated for matrix-forming properties. a simplex lattice design was applied to systemically optimize the drug release profile. the amounts of peo wsr 303, hpmc k15m and sodium bicarbonate were selected as independen...

This paper describes an parallel semi-Lagrangian nite diierence approach to the pricing of early exercise Asian Options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic tra...