Abstract In recent years a number of authors pointed out significant stability and convergence problems while using Cox-Ross-Rubinstein binomial method to price and hedge barrier options. Different modifications were suggested to improve the convergence and stability of the binomial method. However, as this article shows, lattice approach in general has limited stability factor when applied to ...

This paper questions one of the fundamental assumptions made in options pricing: that the daily returns of a stock are independent and identically distributed (IID). We apply an estimation procedure to years of daily return data for all stocks in the French CAC-40 index. We find six stocks whose log returns are best modeled by a first-orderMarkov chain, not an IID sequence. We further propose t...

Hedgers located far from organized commodity exchanges suffer a mismatch between their local prices and exchange prices. Futures and options traded on the exchange may still be valuable to distant hedgers, but only to the extent that basis risk is small. Forward contracting allows hedgers to manage risk using a local delivery price, but the Commodity Futures Trading Commission has long banned t...

San Fermı́n is a system for aggregating large amounts of data from the nodes of large-scale distributed systems. Each San Fermı́n node individually computes the aggregated result by swapping data with other nodes to dynamically create its own binomial tree. Nodes that fall behind abort their trees, thereby reducing overhead. Having each node create its own binomial tree makes San Fermı́n highly re...

this paper presents an analytic procedure for the value added to different production levels with different policy options. the approach is stochastic and thus provides a framework for informed decision-making on productivity growth under uncertainty conditions. the model was applied to data collected from a firm and re-sults recommend that the firm should redevelop if in diversification and sy...

This paper deals with the often ignored issue of adaptation to human-induced climate change. Adaptation is not only inevitable but essential to fashioning the least-social-cost strategy to addressing climate change. The urgency for limiting climate change is inversely proportional to society's adaptability. Some limitation strategies are incompatible with adaptation goals (e.g., reducing CO2 ra...

since takafol is regarded as a product with a structure formed by islamic contracts, its assessment and consideration of stakeholders’ interests as a guarantee of its stability in the insurance market are inevitable. on this basis, in this research, by a comprehensive analysis of the structure and various models of takafol at both general and family levels, we have tried to detect its vulnerabi...

background emerging antibacterial resistance rates and extended-spectrum-β-lactamase producing escherichia coli recovered from urinary tract infections (uti) is an increasing problem in different regions, limiting therapeutic options. objectives the aim of this study was the detection of blatem, blashv and blactx-m genes among escherichia coli strains causing urinary tract infection in children...

We study the problem of forecasting volatility for the multifractal random walk model. In order to avoid the ill posed problem of estimating the correlation length T of the model, we introduce a limiting object defined in a quotient space; formally, this object is an infinite range logvolatility. For this object and the non limiting object, we obtain precise prediction formulas and we apply the...

Real options theory within the confines of innovation strategy (which states that firms can maximize upside potential whilst limiting down-side risk via engaging in sequential innovation investments that may be terminated (or continued) as uncertainties become clearer over time) has recently been of interest to those studying innovation in global firms. Real Options are purported to help initia...