PRICING ARITHMETIC ASIAN OPTIONS UNDER THE CEV PROCESS

This paper discusses the pricing of arithmetic Asian options when the underlying stock follows the constant elasticity of variance (CEV) process. We build a binomial tree method to estimate the CEV process and use it to price arithmetic Asian options. We find that the binomial tree method for the lognormal case can effectively solve the computational problems arising from the inherent complexities of arithmetic Asian options when the stock price follows CEV process. We present numerical results to demonstrate the validity and the convergence of the approach for the different parameter values set in CEV process.Exotic options; arithmetic Asian options; binomial tree method; CEV proces

A Box-Counting Method with Adaptable Box Height for Measuring the Fractal Feature of Images

Most of the existing box-counting methods for measuring fractal features are only applicable to square images or images with each dimension equal to the power of 2 and require that the box at the top of the box stack of each image block is of the same height as that of other boxes in the same stack, which gives rise to inaccurate estimation of fractal dimension. In this paper, we propose a more accurate box-counting method for images of arbitrary size, which allows the height of the box at the top of each grid block to be adaptable to the maximum and minimum gray-scales of that block so as to circumvent the common limitations of existing box-counting methods