In this paper we deal with the problem of valuing the surrender option embedded in a participating life insurance policy with a minimum interest rate guaranteed. This feature is an American-style put option that enables the policyholder to sell back the contract to the insurer at the surrender value. By means of a recursive binomial tree à la Cox, Ross and Rubinstein (1979) we compute, first of...

the revenue management concept and techniques are applied to model the coordination of supply chain elements. the fundamental premise of this approach is synchronization of a group of business entities consist-ing of a manufacturer and multiple suppliers to achieve an optimal supply chain capacity plans. the output of the supply chain can be various products and thus it is measured in terms of ...

The timing option embedded in a futures contract allows the short position to decide when to deliver the underlying asset during the last month of the contract period. In this paper we derive, within a very general incomplete market framework, an explicit model independent formula for the futures price process in the presence of a timing option. We also provide a characterization of the optimal...

The study in the article aims to improve methodology for calculating price of an option agreement . subject is a real with right sell / purchase hypothesis that using more objective calculation formula will increase efficiency making corporation’s strategic investment and management decisions method mathematical modelling used refine within framework ways options discounting cash flows justifie...

The nickel-titanium (Ni-Ti) alloys used in endodontics contain 56% Ni and 44% Ti. The 2 unique features related to clinical dentistry (i.e., shape memory effect and superelasticity) are due to the transition from austenite to martensite in Ni-Ti alloy. When a superelastic Ni-Ti alloy undergoes a low tensile loading, normal elastic behavior occurs. In fact, at higher tensile loads, the elastic s...

In this paper we derive Fourier transforms for double sided Parisian option contracts. The double sided Parisian option contract is triggered by the stock price process spending some time above an upper level or below some lower level. The double sided Parisian knock-in call contract is the general type of Parisian contract from which all the one-sided contract types follow. We also discuss the...