Guaranteed Annuity Options (GAOs) are options available to holders of certain pension policies. Under these contracts, policyholders contribute premiums into a fund managed by the insurer. At retirement, the policyholders buy life annuities at a guaranteed rate provided by the original insurer, or annuitize with another insurer. If the guaranteed annuity rates are better than the prevailing rat...

In this paper we study different algorithms for reflected backward stochastic differential equations (BSDE in short) with two continuous barriers based on binomial tree framework. We introduce numerical algorithms by penalization method and reflected method respectively. In the end simulation results are also presented.

The real estate derivatives market allows participants to manage risk and return from exposure to property, without buying or selling directly the underlying asset. Such market is growing very fast hence the need to rely on simple yet effective pricing models is very great. In order to take into account the real estate market sensitivity to the interest rate term structure in this paper is pres...

We propose an efficient fault-tolerant routing algorithm for hypercube networks with a very large number of faulty nodes. The algorithm is distributed and local-information-based in the sense that each node in the network knows only its neighbors’ status and no global information of the network is required by the algorithm. For any two given nonfaulty nodes in a hypercube network that may conta...

We reconsider the valuation of barrier options by means of binomial trees from a “forward looking” prospective rather than the more conventional “backward induction” one used by standard approaches. This reformulation allows us to write closed-form expressions for the value of European and American put barrier-options on a non-dividend-paying stock.

Although many clinicians are familiar with trans­ gender individuals and the physical treatments available to them, many will be unfamiliar with the psychological treatment options available for other gender identity disorders. Eden and colleagues have detailed the role of the gender specialist when offering assessment and physical treatments in the forms of hormone therapy and surgery to trans...

Although many clinicians are familiar with trans­ gender individuals and the physical treatments available to them, many will be unfamiliar with the psychological treatment options available for other gender identity disorders. Eden and colleagues have detailed the role of the gender specialist when offering assessment and physical treatments in the forms of hormone therapy and surgery to trans...

In the paper, we consider the problem of pricing options in wide classes of Lévy processes. We propose a general approach to the numerical methods based on a finite difference approximation for the generalized Black-Scholes equation. The goal of the paper is to incorporate the Wiener-Hopf factorization into finite difference methods for pricing options in Lévy models with jumps. The method is a...

Although many clinicians are familiar with trans­ gender individuals and the physical treatments available to them, many will be unfamiliar with the psychological treatment options available for other gender identity disorders. Eden and colleagues have detailed the role of the gender specialist when offering assessment and physical treatments in the forms of hormone therapy and surgery to trans...

In 1980, Carl Pomerance and J. L. Selfridge proved D. J. Newman’s coprime mapping conjecture: If n is a positive integer and I is a set of n consecutive integers, then there is a bijection f :{1, 2, . . . , n}→ I such that gcd(i, f(i)) = 1 for 1 ≤ i ≤ n. The function f described in their theorem is called a coprime mapping. Around the same time, Roger Entringer conjectured that all trees are pr...