An important topic for retirees is determining how much they can safely withdraw from their retirement savings: draw too much from their retirement fund and risk outliving their retirement savings, or draw too little and ...

Spread options are notoriously difficult to price without the use of Monte Carlo simulation. Some strides have been made in recent years through the application of Fourier transform methods; however, to date, these methods ...

This paper considers the recent underperformance of the equal weighted portfolio of South African Top 40 stocks relative to the market capitalisation weighted portfolio. It highlights the impact of the increased concentration ...

In this paper, we present a numerical method based on the fast Fourier transform (FFT) to price call options on the minimum of two assets, otherwise known as two-asset rainbow options. We consider two stochastic processes ...

Recently, Ross derived a theorem, namely the “Recovery Theorem”, that allows for the recovery of the pricing kernel and real-world asset distribution, under particular assumptions, from a forward-looking risk neutral ...