Arithmetic Asian options are difficult to price and hedge as they do not have closed-form
analytic solutions. The main theoretical reason for this difficulty is that the payoff depends on the …

The authors use risk-neutral option pricing theory to value the guaranteed minimum death
benefit (GMDB) in variable annuities (VAs) and some recently introduced mutual funds. A …

… The following theorem states that almost every iid sequence will eventually have a pointwise
bound on the expected NN distance in terms of the covering numbers of sets that depend …

The no-arbitrage valuation of basket options is com-plicated by the fact that the sum of
lognormal random vari-ables is not lognormal. This problem is shared uith arithmetic Asian …

We find tight upper and lower bounds on the growth rate for the covering numbers of functions
of bounded variation in the /spl Lscr//sub 1/ metric in terms of all the relevant constants. …

The financial economic No Arbitrage assumption implies that in a complete market the price
of any derivative security is the discounted value of its payoff function integrated against the …

… Of course, we can not rule out the hypothesis that event-risk spreads are high not because
of uncertainty per se, but because participants believe that the true average probabilities of …

… Milevsky and SE Posner, Asian options, the sum of lognormals and the reciprocal
gamma distribution, J. Financial and Quantitative Analysis 33(3) (1998) 409–422. [10] G. …

… These selection criteria modify our reports about the evidence but not the evidence itself.
Our data suggest an interactive framework, because they show serious constraints upon the …

… told -S nothing about what letters he was to receive, it provided only rather minimal selective
information. Selectivity was studied by providing one of the two letters so that 6" knew what …