A Monte Carlo approach is used to estimate the value of American call options on the
maximum value of baskets of more than one stock. It employees a 2-factor representation of …

We study the pricing of American options on two stocks without expiration date and with
payoff functions which are positively homogeneous with respect to the two stock prices …

The Esscher transform is a time-honored tool in actuarial science. This paper shows that the
Esscher transform is also an efficient technique for valuing derivative securities if the …

Lookback N-time period performance options are proposed. Explicit risk-neutral probability
density functions for extrema of N-time period return rates are obtained over the time interval …

Artykuł ma charakter przeglądowy. Jego celem jest omówienie najpopularniejszych opcji
wieloczynnikowych tj. opcje wymiany, tęczowe, koszykowe, spreadowe, out-performace …

This paper analyzes the valuation of monthly Physical Transmission Rights (PTRs) on the
German-Dutch interconnector. From a financial perspective, PTRs are exchange options …

Barrier options are one of the most popular exotic options. In this contribution, we propose a
performance barrier option, which is a type of barrier option defined with the N th period …