We present an explicit formula and a multinomial approach for pricing contingent claims
under a regime-switching jump–diffusion model. The explicit formula, obtained as an …

A degree theory for equivariant maps is constructed in a simple geometrical way. This
degree has all the basic properties of the usual degree theories and takes its values in the …

Real option theory is a central tool in today's investment theory as it integrates uncertainty
and managerial flexibility in the analysis and valuation of investment projects. This paper …

We propose a model for pricing both European and American Asian options based on the
arithmetic average of the underlying asset prices. Our approach relies on a binomial tree …

The computation of the fair periodical premiums for equity-linked policies in a Cox–Ross–Rubinstein
(CRR) [Cox, JC, et al., 1979. Option pricing: A simplified approach. J. Financial …

We propose a lattice-based model to approximate the dynamics of an asset with diffusion
driven by a mixed fractional Brownian motion. Being it defined as the sum of a fractional …

Global several parameter bifurcation and continuation theorems: A unified approach via
complementing maps. IRIS IRIS Home Sfoglia Macrotipologie & tipologie Autore Titolo Riviste …

We present a binomial approach for pricing contingent claims when the parameters governing
the underlying asset process follow a regime-switching model. In each regime, the asset …

A useful tool in the study of global continua of solutions of nonlinear partial differential equations
is a connectivity result on the fixed-points set of a l-parameter family of maps that goes …

This paper provides an econometric analysis aiming at evidencing the dynamics showed by
the S&P 500 market index during the period of 4 January 2001–28 April 2020, in which the …