Month: July 2018

07

WILMOTT Magazine: July 2018 issue

26 July 2018 Editor Comments Off on WILMOTT Magazine: July 2018 issue
Volume 2018, Issue 96. Pages 1–60   Every issue we bring you original material from some of the best columnists, educators and cutting-edge researchers. Subscribe here. In this issue: Bibliography [bibtex template=wilmott-bibtex file=https://www.wilmott.com/wp-content/uploads/magazine/citations/citations_wilmott_96.bib] More information about […]
Articles

Pricing Rainbow Options

23 July 2018 Editor Comments Off on Pricing Rainbow Options
A previous paper (West 2005) tackled the issue of calculating accurate uni-, bi- and trivariate normal probabilities. This has important applications in the pricing of multiasset options, e.g. rainbow options. In this paper, we derive […]
Articles

Valuation of American Call Options

11 July 2018 Editor Comments Off on Valuation of American Call Options
The purpose of this paper is to provide an analytical solution for American call options assuming proportional dividends. Proportional dividends are more realistic for long-term options than absolute dividends and the formula does not have […]
Wilmott Inner Circle

It’s the Debt, Stupid

5 July 2018 Editor Comments Off on It’s the Debt, Stupid
You’ve just tried to access content that is only available to WILMOTT INNER CIRCLE members! Membership of WIC is a simple, free, upgrade to ordinary membership of wilmott.com. All we need is a bit more personal […]