A general method to construct recombinant tree approximations for stochastic volatility models is developed and applied to the Heston model for stock price dynamics. In this application, the resulting approximation is a four tuple Markov process. The first two components are related to the stock and volatility processes and take values in a two-dimensional binomial tree. The other two component...

BACKGROUND Parkinson's disease (PD) patients' own knowledge and experience and access to information, in relation to advanced treatment methods, are very limited. The aim of this study was to map out PD patients' perception about various advanced treatment methods, their availability and regional differences in medical care, and to investigate patients' experience of their medication and qualit...

This paper proposes a new efficient algorithm for the computation of Greeks for options using the binomial tree. We also show that Greeks for European options introduced in this article are asymptotically equivalent to the discrete version of Malliavin Greeks. This fact enables us to show that our Greeks converge to Malliavin Greeks in the continuous time model. The computation algorithms of Gr...

Recent research has proposed methods for enhancing the performance of multicast in networks with irregular topologies. These methods fall into two broad categories: (a) network interface (NI) based schemes that make use of enhanced functionality of the software/firmware running at the NI processor, and (b) switch-based methods that use enhancements to the switch architecture to support hardware...

We thank the editor and an anonymous referee. Any errors are our own. Abstract Using the WACC to Value Real Options We present a real option valuation using the weighted average cost of capital (WACC). This is an alternative to risk-neutral real option valuation. Using the WACC involves a marginal increase in mathematical complexity, but it is easy to implement in a spreadsheet, and it is easy ...

The pricing of corporate debt is still a challenging and active research area in corporate finance. Starting with Merton (1974), many authors proposed a structural approach in which the value of the assets of the firm is modeled by a stochastic process, and all other variables are derived from this basic process. These structural models have become more complex over time in order to capture mor...

A new binomial approximation to the Black–Scholes model is introduced. It is shown that for digital options and vanilla European call and put options that a complete asymptotic expansion of the error in powers of n−1 exists. This is the first binomial tree for which such an asymptotic expansion has been shown to exist.

By F. R. Walters.?Published by Bailliere, Tindal & Cox, 1921. Price 12s. 6d. net. Tiik book is written from wide experience. The author has studied the treatment of tuberculosis in institutions both in England and on the continent. As a County Tuberculosis Officer he knows the problem well from its domiciliary aspect. Much of the subject-matter of the book will be found in larger works, but the...

A key issue in designing software multicast algorithms is to consider the trade-off between performance and portability. Portable software multicast algorithms which base on generic communication models cannot capture some architecture-specific features. Without considering the underlying network architecture, these multicast algorithms may not achieve the truly optimal performance when impleme...