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Banks and investment funds are increasingly basing their competitiveness on the quality of their quantitative technology, including programming techniques, analytical methods, and applications such as financial forecasting, option pricing, and risk management, which are all essential elements of the field of computational finance.
In this paper, we get the pricing framework of the convertible bond (CB) with call clause in exponential variance Gamma (EVG) model rather than the classical Black-Scholes (BS) model. From numerical calculation, we conclude that the new approach does lead to a different pricing method, but the difference of prices is insignificantly and the optimal stopping strategies are exactly the same.
Usually it is assumed that the supplier would offer a fixed credit period to the retailer but the retailer in turn would not offer any credit period to its customers, which is unrealistic, because in real practice retailer might offer a credit period to its customers in order to stimulate his own demand. Moreover, much of existing EOQ models under a given delay-in-payments tactic consider to decide...
When pricing American options on multi-assets (d) by Monte Carlo methods, one usually stores the simulated asset prices at all time steps on all paths in order to determine when to exercise the options. If N time steps and M paths are used, then the storage requirement is . It is undoubtedly enormous for Monte Carlo method which needs to increase the number of simulations to improve the accuracy....
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