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AbstractFunahashi and Kijima (in press, A chaos expansion approach for the pricing of contingent claims, Journal of Computational Finance) have proposed an approximation method based on the Wiener–Ito chaos expansion for the pricing of European-style contingent claims. In this paper, we extend...
AbstractWe study the fair strike of a discrete variance swap for a general time-homogeneous stochastic volatility model. In the special cases of Heston, Hull–White and Schöbel–Zhu stochastic volatility models, we give simple explicit expressions (improving Broadie and Jain (2008a). The effect of...
AbstractWe study three classes of perpetual option with multiple uncertainties and American-style exercise boundaries, using a partial differential equation-based approach. A combination of accurate numerical techniques and asymptotic analyses is implemented, with each approach informing and...
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