WILMOTT Magazine

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 “Contents,” Wilmott, vol. 2018, iss. 96, […]

Articles

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

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 […]

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It’s the Debt, Stupid

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