Longevity-linked derivatives are one of the most important longevity risk management
solutions for pension schemes and life annuity portfolios. In this paper, we decompose several …

This paper proposes an alternative characterization of the early exercise premium that is
valid for any Markovian and diffusion underlying price process as well as for any …

Much of the work on real options assumes that the underlying state variable follows a geometric
Brownian motion with constant volatility. This paper uses a more general assumption for …

Under a one‐factor Gaussian Heath‐Jarrow‐Morton model, Turnbull (1995) as well as
Navatte and Quittard‐Pinon (1999) have provided explicit pricing solutions for range notes …

Energy producers are challenged to contribute to a lower carbon economy and to enhance
the decarbonization of this sector two sources highlight: electricity (mainly from renewables) …

This paper offers novel analytical solutions for evaluating perpetual caps and floors on
continuous flows under the constant elasticity of variance (CEV) model. We demonstrate that the …

… links open overlay panel João Pedro Ruas , José Carlos Dias , João Pedro Vidal Nunes …
In this section, we extend the optimal stopping approach of Nunes (2009) for the payment of the …

This paper develops two novel methodologies for pricing and hedging European-style
barrier option contracts under the jump to default extended constant elasticity of variance (JDCEV…

This paper applies the static hedge portfolio approach (SHP) of Chung et al. (2013) in two
new directions. First, the SHP approach is generalized from the constant elasticity of variance (…

This paper proposes a novel representation for the early exercise boundary of American-style
double knock-out options in terms of the simpler optimal stopping boundary of a nested …