Laura Ziani

New insights on testing the efficiency of methods of pricing and hedging American options

Abstract With reference to the evaluation of the speed–precision efficiency of pricing and hedging of American Put options, we present and discuss numerical results obtained on the basis of four different large enough random samples according to the relevance of the American quality (relative importance of the early exercise opportunity) of the options. Here we provide a comparison of the best methods (lattice based numerical methods and an approximation of the American Premium analytical procedure) known in literature along with some key methodological remarks.

Fibonacci Representations of Homogeneous Weighted Majority Games

Isbell (1956) introduced a class of homogeneous weighted majority games based on the Fibonacci sequence. In our paper, we generalize this approach to other homogeneous representations of weighted majority games in a suitable Fibonacci framework. We provide some properties of such representations.

The influence of correlation and loading on M–V efficient retentions in variable quota share proportional reinsurance

Based on our recent discovery of closed form formulae of efficient Mean Variance retentions in variable quota-share proportional reinsurance under group correlation, we analyzed the influence on the efficient frontier of two key variables, correlation and safety loading levels, in a single period stylized problem. We found a clear separated influence of each variable (given the level of the other) and a surprising joint influence of both on the efficient set.