An Asian option is a path-depending exotic option, which means that either the settlement price or the strike of the option is formed by some aggregation of underlying asset prices during the option lifetime. This thesis will focus on European style Arithmetic Asian options where the settlement price at maturity is formed by the arithmetic average price of the last seven days of the underlying ...

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Duisenberg school of finance is a collaboration of the Dutch financial sector and universities, with the ambition to support innovative research and offer top quality academic education in core areas of finance. support and encouragement, and the referees for their timely and very helpful comments and suggestions on the papers comprising the special issue. Abstract One of the fastest growing ar...

Networked Infrastructure systems deliver services and/or products from point to point along the network. Demand for the services provided by such systems is typically cyclic, creating inefficiencies in capacity utilization. Congestion pricing provides incentives to shift demand from peak time periods to lower demand periods. This effectively increases the capacity of the system without the need...

This paper examines option pricing in a universe in which it is assumed that markets are incomplete. It derives multiperiod discrete time option bounds based on stochastic dominance considerations for a risk-averse investor holding only the underlying asset, the riskless asset and (possibly) the option for any type of underlying asset distribution, discrete or continuous. It then considers the ...

This paper is a contribution to the pricing and hedging of options in a market where the volatility is stochastic. The new concept of relative indifference pricing is further developed. This relative price is the price at which an option trader is indifferent to trade in an additional option, given that he is currently holding and dynamically hedging a portfolio of options. We find that the app...

A hybrid neural network is used to predict the difference between the conventional option-pricing model and observed intraday option prices for stock index option futures. Confidence intervals derived with bootstrap methods are used in a trading strategy that only allows trades outside the estimated range of spurious model fits to be executed. Whilst hybrid neural network option pricing models ...

If the underlying asset price process is unknown, arbitrageurs may not have sufficient incentive and confidence to use the underlying asset to arbitrage options. The option market makers can hedge their portfolios of temporary option inventories without the underlying asset, but investors’ risk attitudes and heterogeneous expectations could become relevant to option pricing. This paper shows th...

This paper develops a framework for integrating contract markets with spot markets using tradable options for capacity. Sellers and Buyers may either contract for delivery in advance (the \contracting" option) or they may sell and buy some or all of their output/input in a spot market. Contract pricing involves both a reservation fee per unit of capacity and an execution fee per unit of output ...