In this paper, Black Scholes’s pricing model was developed to study American option on future contracts of Brent oil. The practical tests of the model show that market priced option contracts as future contracts less than what model did, which mostly represent option contracts with price rather than without price. Moreover, it suggests call option rather than put option. Using t hypothesis test...

American options are different to European style options in that the contract buyer has the right to exercise the option at any time on or before maturity . The freedom to exercise an American option whenever the holder wishes, introduces a boundary problem to solving the Black-Scholes equation popularly used to price the European options. The contract holder will ideally, of course, only exerc...

A knock-in American option under a trigger clause is an option contract in which the option holder receives an American option conditional on the underlying stock price breaching a certain trigger level (also called barrier level). We present analytic valuation formulas for knock-in American options under the Black-Scholes pricing framework. The price formulas possess different analytic represe...

This study proposes a novel option-revenue sharing coordination contract framework. In the proposed model, the retailer determines the number of order sales effort. The manufacturer sets the price of products for the wholesale strategy. The investigated supply chain problem analyzes the results of different strategies. In the proposed coordination contract problem, two types of games including ...

We present a new put option where the holder enjoys the early exercise feature of American options whereupon his payoff (deliverable immediately) is the ‘best prediction’ of the European payoff under the hypothesis that the true drift of the stock price equals a contract drift. Inherent in this is a protection feature which is key to the British put option. Should the option holder believe the ...

Alongside the British put option [11] we present a new call option where the holder enjoys the early exercise feature of American options whereupon his payoff (deliverable immediately) is the ‘best prediction’ of the European payoff under the hypothesis that the true drift of the stock price equals a contract drift. Inherent in this is a protection feature which is key to the British call optio...

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...

Following the economic rationale of [10] and [11] we present a new class of lookback options (by first studying the canonical ‘Russian’ variant) where the holder enjoys the early exercise feature of American options whereupon his payoff (deliverable immediately) is the ‘best prediction’ of the European payoff under the hypothesis that the true drift of the stock price equals a contract drift. I...