Description: This paper examines the problem of hedging foreign exchange risk across multiple countries using currency options. The profit target requirement is formulated as a stochastic constraint in the context of a binomial lattice. Models are presented for European options. In a numerical example, five currency options are selected, allowing for long or short positions, depending on the target value.

Description: This is the abstract of the paper A Space Marching Finite Difference Algorithm for Valuing American. In this paper, the author considers the problem of valuating American options written on assets that pay continuous dividends with unknown optimal exercise boundary. The numerical solution of the associated free boundary value problem is investigated. This research has been partialy supported by the actuarial faculty fund at the Ohio State University.

Description: A European call option pricing model similar to the Black-Scholes equation [1] is derived. Like the Black-Scholes equation, the model is based upon an assumption of a lognormal distribution of the price of a risky, non-dividend-paying security at a given point in the future. However, unlike Black-Scholes, the market's risk preference is recognized through a parameter that permits refinement of the model to agree either with experience or with future advances in the underlying theory.

Description: This paper presents a new methodology for obtaining fast algorithms and closed form solutions for pricing callable bonds in continuous time models. Results are directly applicable to regulatory scenario testing, immunization and market value accounting.