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Option pricing in a CEV model with liquidity costs

Krzysztof Turek — 2016

Applicationes Mathematicae

The goal of this paper is to make an attempt to generalise the model of pricing European options with an illiquid underlying asset considered by Rogers and Singh (2010). We assume that an investor's decisions have only a temporary effect on the price, which is proportional to the square of the change of the number of asset units in the investor's portfolio. We also assume that the underlying asset price follows a CEV model. To prove existence and uniqueness of the solution, we use techniques similar...

Models and measures to evaluate the effectiveness of funds utilization for scientific research and development of advanced technologies

Jakub Lengiewicz;  Krzysztof Turek;  Jacek Lewkowicz — 2011

Mathematica Applicanda

The purpose of this report was to construct some alternative methods to estimate the effectiveness of investments in scientific research and development of advanced technologies, especially their long-term effects. Study Group decided to focus on the sub-problem of finding the relation between the spending on science and the quality of science itself. As a result, we have developed two independent methodologies. The most promising one is based on the theory of time-delay systems, which allows capturing...

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