10 citations · 35 across the 17 of their papers we have counts for
4 papers · 1 filter
New analytic approach to address Put - Call parity violation due to discrete dividends
Alexander Buryak, Ivan Guo
The issue of developing simple Black-Scholes type approximations for pricing European options with large discrete dividends was popular since early 2000's with a few different appr…
Effective and simple VWAP option pricing model
Alexander Buryak, Ivan Guo
Volume weighted average price (VWAP) options are a popular security type in many countries, but despite their popularity very few pricing models have been developed so far for VWAP…
Arbitrage Pricing of Multi-person Game Contingent Claims
Ivan Guo, Marek Rutkowski
We introduce a class of financial contracts involving several parties by extending the notion of a two-person game option (see Kifer (2000)) to a contract in which an arbitrary num…
Stochastic Multi-player Competitive Games in Discrete Time
Ivan Guo, Marek Rutkowski
A new class of multi-player competitive stochastic games in discrete-time with an affine specification of the redistribution of payoffs at exercise is proposed and examined. Our ga…