This paper derives semi-analytical pricing formulae for geometric average options (GAO) within a stochastic volatility framework. Assuming a general mean reverting process for the underlying asset and a square-root process for the volatility, the cross-moment generating function is derived and the cumulative probabilities are recovered using the Gauss-Laguerre quadrature rule. Fixed and floatin...

tires represent a critical spare part in mines. there is a shortage of medium and large tires. in addition, with increased mining activities and the creation of new mines, the demand for tires has increased significantly. thus, it is particularly important for mining engineers to identify tire characteristics and correctly manage the spare part inventory. spare parts management is critical from...

Affine term structure models have gained a lot of attention in the finance literature, which is due to their analytic tractability and statistical flexibility. The aim of this article is to present both, theoretical foundations and empirical aspects. Starting from the first short rate models, namely the Vasiček and the Cox-Ingersoll-Ross ones, we then give an overview of some properties of affi...

In this work, we analyze two important and simple models of short rates, namely Vasicek and CIR models. The models are described and then the sensitivity of the models with respect to changes in the parameters are studied. Finally, we give the results for the estimation of the model parameters by using two different ways.

T he term structure models discussed in our previous article (“Term Structure of Interest Rates,” MiER Vol. 7, No. 3) such as the [Vasicek 1978] or the [CoxIngersoll-Ross 1985] model may not match the current term structure. The Black-Derman-Toy (BDT) and BlackKarasinksi models discussed in this article are important examples of models in which the current term structure can always be replicated.