During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

In the past three decades, we have witnessed the phenomenal growth in the trading of
financial derivatives and structured products in the financial markets around the globe and …

This paper develops methods for relating the prices of discrete-and continuous-time
versions of path-dependent options sensitive to extremal values of the underlying asset …

This paper presents an implicit method for solving PDE models of contingent claims prices
with general algebraic constraints on the solution. Examples of constraints include barriers …

Discontinuities in the payoff function (or its derivatives) can cause inaccuracies for numerical
schemes when pricing financial contracts. In particular, large errors may occur in the …

This paper proposes and develops a novel, simple, widely applicable numerical approach
for option pricing based on quadrature methods. Though in some ways similar to lattice or …

This paper examines the pricing of lookback and barrier options when the underlying asset
follows the constant elasticity of variance (CEV) process. We construct a trinomial method to …

This article develops a flexible binomial model with a “tilt” parameter that alters the shape
and span of the binomial tree. A positive tilt parameter shifts the tree upward while a …

In this paper, we propose an alternative approach for pricing and hedging American barrier
options. Specifically, we obtain an analytic representation for the value and hedge …

In particular, does there exist option pricing rules that are stable under convergence of the
underlying assets (this will reduce the model risk when choosing between discrete time or …