We will present a model to compute a lower bound for the price of this option. The model, represented by a non-linear parabolic PDE, is implemented with finite elements in order to demonstrate the results with several derivatives from the European market.

This paper derives optimal perfect hedging portfolios in the presence of transaction costs within the binomial model of stock returns, for a market maker that establishes bid and ask prices for American call options on stocks paying dividends prior to expiration.(...)

This paper shows a simple approach to the pricing of options on spread and some arguments in favor of modelling the spread using its two components instead of the spread itself.

Many economic and econometric applications require the integration of functions lacking a closed form antiderivative, which is therefore a task that can only be solved by numerical methods. We propose a new family of probability densities that can be used as substitutes and have the property of...

We model the dynamics of asset prices and associated derivatives by considerationof the dynamics of the conditional probability density process for the value of an assetat some specied time in the future. In the case where the asset is driven by Brownianmotion, an associated \master equation"...

We study a new class of three-factor affine option pricing models with interdependent volatilitydynamics and a stochastic skewness component unrelated to volatility shocks. Theseproperties are useful in order (i) to model a term structure of implied volatility skews moreconsistent with the data...