Moawia Alghalith

University of the West Indies (UWI)

Trinidad and Tobago

SCHOLARLY PAPERS

16

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1,257

SSRN CITATIONS

3

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Scholarly Papers (16)

1.

Pricing the American Options Using the Black-Scholes Pricing Formula

Number of pages: 7 Posted: 14 Nov 2017 Last Revised: 08 Nov 2018
Moawia Alghalith
University of the West Indies (UWI)
Downloads 438 (84,036)
Citation 3

Abstract:

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American option pricing, analytical exact explicit solution, the Black-Scholes PDE

2.

Taylor's theorem if the function is not differentiable

Number of pages: 6 Posted: 05 Jan 2017 Last Revised: 20 Oct 2021
Moawia Alghalith
University of the West Indies (UWI)
Downloads 176 (213,810)

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exact Taylor’s expansion, approximation

3.

A Revision of the Merton Jump-Diffusion Model: A Simple, Explicit Formula

Number of pages: 8 Posted: 01 Jul 2019 Last Revised: 30 Aug 2021
Moawia Alghalith
University of the West Indies (UWI)
Downloads 168 (222,473)

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option pricing, Merton model, jump diffusion, closed-form solution, PIDE

4.

A Note on Generalizing and Extending Stein's Lemma

Number of pages: 8 Posted: 06 Apr 2016 Last Revised: 13 Aug 2020
Moawia Alghalith
University of the West Indies (UWI)
Downloads 129 (275,292)

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Stein's Lemma, Probability Distribution, Exact Taylor Expansion, Variance, Covariance

5.

A General Optimal Investment Model in the Presence of Background Risk

Number of pages: 9 Posted: 19 Aug 2012
Moawia Alghalith, Wing-Keung Wong, Lixing Zhu and Xu Guo
University of the West Indies (UWI), Asia University, Department of Finance, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 129 (275,292)

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Stochastic factor, optimal investment, background risk

6.

The Distribution of the Sum of Log-normal Variables and Exact Pricing of the Arithmetic Asian Options: A Simple, Explicit Formula

Number of pages: 10 Posted: 25 Sep 2019 Last Revised: 21 Oct 2021
Moawia Alghalith
University of the West Indies (UWI)
Downloads 45 (500,593)

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Distribution of the sum of log-normals, Arithmetic Asian option, Black-Scholes formula

7.

Alternative Smooth Solutions to the HJB PDE: Applications to Finance

Number of pages: 16 Posted: 06 Jan 2017 Last Revised: 11 Jan 2021
Moawia Alghalith
University of the West Indies (UWI)
Downloads 36 (543,447)

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Optimization, HJB PDE, Value Function, Portfolio, Consumption, Stochastic Factor, Viscosity Solution

8.

On an Extension of Stein's Lemma: A Refutation

Number of pages: 5 Posted: 16 Jul 2020 Last Revised: 11 Aug 2020
Moawia Alghalith
University of the West Indies (UWI)
Downloads 28 (588,280)

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Stein's Lemma

9.

New Solutions for Non-Smooth Value Functions

Number of pages: 4 Posted: 22 Aug 2011
Moawia Alghalith
University of the West Indies (UWI)
Downloads 25 (607,458)

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stochastic PDE, viscosity solutions, HJB, investment, portfolio

10.

A Theorem of the Square Root of the Brownian Motion

Number of pages: 5 Posted: 29 Jan 2019 Last Revised: 04 Jan 2020
Moawia Alghalith
University of the West Indies (UWI)
Downloads 24 (614,267)

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the square root of the Brownian motion, Wiener process, stochastic process, complex random variable

11.

A General Theory of Option Pricing: Explicit Formulas

Number of pages: 24 Posted: 29 Apr 2021 Last Revised: 02 Oct 2021
Moawia Alghalith
University of the West Indies (UWI)
Downloads 21 (635,071)

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European option, American option, stochastic volatility, stochastic interest rate, jump-diffusion

12.

Black-Scholes formulas without the normality assumption: Applications to stochastic volatility and stochastic interest rate

Number of pages: 8 Posted: 07 Sep 2021 Last Revised: 28 Sep 2021
Moawia Alghalith
University of the West Indies (UWI)
Downloads 13 (693,861)

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option pricing formula, stochastic volatility, non-normality

13.

A Simple Solution to the Multi-Dimensionality in Option Pricing

Number of pages: 5 Posted: 29 Jun 2021
Moawia Alghalith
University of the West Indies (UWI)
Downloads 11 (709,490)

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Multi-asset option, comonotonicity

14.

A Note on the Error Correction Model

Number of pages: 8 Posted: 19 Feb 2021 Last Revised: 28 Jul 2021
Moawia Alghalith
University of the West Indies (UWI)
Downloads 8 (733,279)

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ECM, cointegration, consistent

15.

Relaxing the Black-Scholes Assumptions without Changing the Price Formula

Number of pages: 5 Posted: 12 Oct 2021
Moawia Alghalith
University of the West Indies (UWI)
Downloads 3 (772,321)

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Option pricing, non-normal distribution, the Black-Scholes formula.

16.

A modified Merton jump-diffusion model: A simple, explicit formula

Number of pages: 9 Posted: 13 Sep 2021
Moawia Alghalith
University of the West Indies (UWI)
Downloads 3 (772,321)

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option pricing, Merton model, jump-diffusion, closed-form solution, partial integro- differential equation, the Black-Scholes formula.

Other Papers (12)

Total Downloads: 435
1.

Alternative Theory of Asset Pricing

Number of pages: 6 Posted: 01 Sep 2008
Moawia Alghalith
University of the West Indies (UWI)
Downloads 86

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asset pricing, arbitrage, uncertainty

2.

A New Stopping Time and American Options Model: A Solution to the Free-Boundary Problem

Number of pages: 7 Posted: 21 May 2009 Last Revised: 07 Apr 2021
Moawia Alghalith
University of the West Indies (UWI)
Downloads 67 (400,924)

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American option, stopping time, stochastic

3.

Theory of the Firm in Incomplete Markets: A Complete Generalization

Number of pages: 4 Posted: 16 Jul 2009 Last Revised: 18 Nov 2011
Moawia Alghalith
University of the West Indies (UWI)
Downloads 61

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background risk, portfolio, investment, uncertainty, stochastic, theory of the firm

4.

Generalized Stochastic Production Functions: Specification and Estimation Methodology

Number of pages: 8 Posted: 09 Jul 2008
Moawia Alghalith
University of the West Indies (UWI)
Downloads 56

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Stochastic, production, technical inefficiency, uncertainty, risk

5.

Alternative Expected Utility Theory

Number of pages: 6 Posted: 09 Jun 2008 Last Revised: 08 Nov 2008
Moawia Alghalith
University of the West Indies (UWI)
Downloads 50

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utility, risk, uncertainty

6.

Comparative Statics Under Multiple Uncertainty

Number of pages: 19 Posted: 09 Jul 2008 Last Revised: 18 Nov 2011
Moawia Alghalith
University of the West Indies (UWI)
Downloads 35

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Risk, uncertainty

7.

General Closed-Form Solutions to the Dynamic Optimization Problem in Incomplete Markets

Number of pages: 8 Posted: 05 Dec 2009
Moawia Alghalith
University of the West Indies (UWI)
Downloads 32

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Portfolio, Investment, Stochastic, Incomplete Markets

8.

Generalized Stochastic Differential Equations

Number of pages: 6 Posted: 05 Nov 2009
Moawia Alghalith
University of the West Indies (UWI)
Downloads 25

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stochastic differential equations

9.

Preferences Estimation Without Approximation

Number of pages: 8 Posted: 19 Mar 2009 Last Revised: 18 Nov 2011
Moawia Alghalith
University of the West Indies (UWI)
Downloads 15

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utility, preferences, uncertainty, portfolio

10.

Option Pricing: Simple Formulas

Number of pages: 6 Posted: 12 Sep 2013
Moawia Alghalith
University of the West Indies (UWI)
Downloads 8

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American option, European options

11.

Alternative Theory of Hedging

Posted: 19 Nov 2007 Last Revised: 08 Nov 2008
Moawia Alghalith
University of the West Indies (UWI)

Abstract:

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Hedging, uncertainty

12.

An Alternative Theory of the Firm under Uncertainty

Posted: 16 May 2006 Last Revised: 08 Nov 2008
Moawia Alghalith
University of the West Indies (UWI)

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