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.

Background: Electronic transactions are another form of transactions that are done through electronic tools such as mobile phones, computers, tablets, etc. Considering the synchronization of Iranchr('39')s economic system with the world and meeting the needs of the day, ensuring the correct conclusion of electronic transactions with the correct and ethical use of options is explored. The presen...

This paper considers the pricing of options when there are jumps in the pricing kernel and correlated jumps in asset returns and volatilities. Our model nests Duan’s GARCH option models where conditional returns are constrained to being normal, as well as extends Merton’s jump-diffusion model by allowing return volatility to exhibit GARCH-like behavior. Empirical analysis on the S&P 500 index r...

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...

Integrating large quantities of supply‐driven renewable electricity generation remains a political and operational challenge. One of the main obstacles in Europe to installing at least 200 GWs of power from variable renewable sources is how to deal with the insufficient network capacity and the congestion that will result from new flow patterns. We model the current methodology for contr...

financial derivatives are new instruments through which hedging, investment and arbitrage are done in a modern economy. although the word 'derivative'primarily reminds us of options and futures, the major focus of the equity derivatives industry worldwide is on index derivatives. launching index options and index futures in tehran stock exchange, not only increases financial market de...