Applied and Computational Mathematics

Archive

Volume 3, Issue 6, December 2014

  • The Mellin Transform Method as an Alternative Analytic Solution for the Valuation of Geometric Asian Option

    Fadugba Sunday Emmanuel

    Issue: Volume 3, Issue 6-1, December 2014
    Pages: 1-7
    Received: 19 July 2014
    Accepted: 5 August 2014
    Published: 5 August 2014
    DOI: 10.11648/j.acm.s.2014030601.11
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    This article belongs to the Special Issue Computational Finance
    Abstract: This paper presents the Mellin transform method as an alternative analytic solution for the valuation of geometric Asian option. Asian options are options in which the variable is the average price over a period of time. The analytical solution of the Black-Scholes partial differential equation for Asian option is known as an explicit formula, this... Show More
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  • On Hybrid Model for the Valuation of Credit Risk

    Fadugba Sunday Emmanuel, Edogbanya Olaronke Helen

    Issue: Volume 3, Issue 6-1, December 2014
    Pages: 8-11
    Received: 1 August 2014
    Accepted: 6 August 2014
    Published: 13 August 2014
    DOI: 10.11648/j.acm.s.2014030601.12
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    This article belongs to the Special Issue Computational Finance
    Abstract: This paper presents hybrid model for the valuation of credit risk. Credit risk arises whenever a borrower is expecting to use future cash flows to pay a current debt. It is closely tied to the potential return of investment, the most notable being that the yields on bonds correlate strongly to their perceived credit risk. Hybrid model combines the ... Show More
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  • On Martingales and the Use of Optional Stopping Theorem to Determine the Mean and Variance of a Stopping Time

    Ganiyu, A. A., Fakunle, I.

    Issue: Volume 3, Issue 6-1, December 2014
    Pages: 12-17
    Received: 1 August 2014
    Accepted: 6 August 2014
    Published: 5 September 2014
    DOI: 10.11648/j.acm.s.2014030601.13
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    This article belongs to the Special Issue Computational Finance
    Abstract: This paper examines the roles martingale property played in the use of optional stopping theorem (OST). It also examines the implication of this property in the use of optional stopping theorem for the determination of mean and variance of a stopping time. A simple example relating to betting system of a gambler with limited amount of money has bee... Show More
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  • Performance Measure of Binomial Model for Pricing American and European Options

    Fadugba Sunday Emmanuel, Ajayi Olayinka Adedoyin, Okedele Olanrewaju Hammed

    Issue: Volume 3, Issue 6-1, December 2014
    Pages: 18-30
    Received: 28 September 2014
    Accepted: 6 October 2014
    Published: 20 October 2014
    DOI: 10.11648/j.acm.s.2014030601.14
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    This article belongs to the Special Issue Computational Finance
    Abstract: Binomial model is a powerful technique that can be used to solve many complex option-pricing problems. In contrast to the Black-Scholes model and other option pricing models that require solutions to stochastic differential equations, the binomial option pricing model is mathematically simple. It is based on the assumption of no arbitrage. The assu... Show More
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