Applied and Computational Mathematics

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Volume 3, Issue 6, December 2014

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

Issue: Volume 3, Issue 6-1, December 2014
Pages: 1-7
Accepted: 5 August 2014
Published: 5 August 2014
Views:
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
• 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
Accepted: 6 August 2014
Published: 13 August 2014
Views:
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
• 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
Accepted: 6 August 2014
Published: 5 September 2014
Views:
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
• Performance Measure of Binomial Model for Pricing American and European Options