| Title / Comment |
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| Overview of Barrier Options |
Kevin Cheng
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| Analytic Methods for Pricing Double Barrier Options In The Presence of Stochastic Volatility |
Oliver Faulhaber
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| Some Calculations for Israeli Options |
Andreas Kyprianou
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| Finite Expiry Russian Options |
J.J. Duistermaat, A. Kyprianou and K van Schaik |
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| Israeli Options as Composite Exotic Options |
C. Kühn & A. Kyprianou |
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| Pricing Israeli Options: A Path-wise Approach |
C. Kühn & A. Kyprianou |
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| Completion of a Levy market with Power-Jump Assets |
J. Corcuera, D. Nualart & W. Schoutens |
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| Static Hedging of Asian Options Under Levy Models: A Comonotonicity Approach |
H. Albrecher, J. Dhaene, M. Goovaerts & W. Schoutens
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| Pricing of Exotic Options using Monte Carlo under a Levy framework with Stochastic Volatility |
W. Schoutens & S. Symens
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| Failure of the Smooth Fit Principle for the Perpetual American Put Optimal Stopping Problem Driven by a General Levy Process (Alili & Kyprianou) |
A. Alili & A. Kyprianou |
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| Futures & Money Demand - A Portfolio Allocation Model |
C. Oldani |
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| A Taxonomy of Option Pricing Models: Scale Invariant Volatility and Minimum Variance Hedging |
C. Alexander & L. Nogueira |
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| Valuation of Cliquet Options |
M. Shparber & S. Resheff |
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| Analytical Approximation to Value American Options |
A. Andrikoupos |
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Upcoming
| Title / Comment |
Author |
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| Economic Derivatives - How useful are they? |
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Pricing & Hedging of Mountain Range Options under simulation methods - We look at these basket options (Altiplano, Himalaya, Etna..) first used by Societe Generale in 2000 and the problems associated with pricing and hedging of these contracts.
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| Option Pricing under Quantum Theory - Can quantum mechanics be applied to an option pricing context? |
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