This paper develops a simple technique for valuing European and American derivatives with underlying asset risk-neutral returns that depart from lognormal in terms of prespecified non-zero skewness and greater-than-three kurtosis. Instead of specifying the entire risk-neutral distribution by the riskless return and volatility (as in the Black-Scholes case), this distribution is specified by its...

Option pricing is a tool that investors often use for the purpose of arbitrage or hedging. However, both the BlackScholes model and the CRR model can only provide a theoretical reference value. The volatility in the CRR model cannot always appear in the precise sense because the financial markets fluctuate from time to time. Hence, the fuzzy volatility is naturally to be considered. The main pu...

We study several enumerative properties of the set of all binary strings without zigzags, i.e., without substrings equal to 101 or 010 . Specifically we give the generating series, a recurrence and two explicit formulas for the number wm,n of these strings with m 1’s and n 0’s and in particular for the numbers wn = wn,n of central strings. We also consider two matrices generated by the numbers ...

Let Fq be a finite field of q = pm elements with characteristic p. A polynomial P(x) ∈ Fq[x] is called a permutation polynomial of Fq if P(x) induces a bijective map from Fq to itself. In general, finding classes of permutation polynomials of Fq is a difficult problem (see [3, Chapter 7] for a survey of some known classes). An important class of permutation polynomials consists of permutation p...

This paper analyzes some graph issues by using the symbolic program Mathematica and its version for theWeb, webMathematica. In particular, we consider the problem of graph coloring: the assignment of colors to the vertices/edges of the graph such that adjacent vertices/edges are colored differently. In addition, we address the problem of obtaining the tenacity of binomial trees with Mathematica...

A Dynamic Portfolio or Dynamic Asset Allocation is a strategy used to determine the proportion of a number of assets, chosen carefully, in order to achieve optimum performance of the portfolio. In this paper, the portfolio consists only Options traded in the financial market. One of the most famous models of option pricing is Binomial Cox-Ross-Rubinstein (CRR) Model. Using Fuzzy Binomial CRR pr...

This paper is concerned with the quantum properties of the binomial model (or, the CRR-model). We show that the single-step binomial model is incomplete in the quantum setting. All risk-neutral states of the single-step binomial model in the quantum setting are characterized. Moreover, it is shown that all single-step models are incomplete in the quantum setting. Therefore, incompleteness is ba...

Numerical valuation model is extended for European Asian options while considering the higher moments of the underlying asset return distribution. The Edgeworth binomial lattice is applied and the lower and upper bounds of the option value are calculated. That the error bound in pricing Asian options from the Edgeworth binomial model is smaller than the error bound model by Chalasani et al. is ...

Given a simple connected undirected graph G = (V , E), the Wiener index W (G) of G is defined as half the sum of the distances d(u, v) between all pairs of vertices u, v of G, where d(u, v) denotes the distance (the number of edges on a shortest path between u and v) between u, v in G. We obtain an expression for W (G), where G is a binomial tree. For Fibonacci trees and binary Fibonacci trees ...

In this article, we propose using a real options framework to model and financially value a cross-training policy. The cross-training policy involves a dynamic investment on workforce flexibility. We model it as an approximation of an American call option using binomial lattices. Value stems from the merit of dynamic cross-training compared with the deterministic case using traditional discount...