This paper provides a survey of recent numerical methods for pricing derivative securities. Methods for standard American options on a single underlying asset, barrier and lookback options and options on multiple assets are reviewed. Criteria for comparison of different approaches are discussed....

We provide a simple binomial framework to value American-style derivatives subject to trading restrictions. The optimal investment of liquid wealth is solved simultaneously with the early exercise decision of the non-traded derivative. No-short-sales constraints on the underlying asset manifest...

We propose a Markov chain method for pricing discretely monitored barrier options in both the constant and time-varying volatility valuation frameworks. The method uses a time homogeneous Markov Chain to approximate the underlying asset price process. Our approach provides a natural framework...

This paper examines the valuation of European- and American-style volatility options based on a general equilibrium stochastic volatility framework. Properties of the optimal exercise region and of the option price are provided when volatility follows a general diffusion process. Explicit...

A useful feature of European and American options in the standard financial market model with constant coefficients is the property of put-call symmetry. This property states that the value of a put option with strike price K and maturity date T is the same as the value of a call option with...

We provide a comprehensive treatment of option pricing with particular emphasis on the valuation of American options on dividend-paying essets. We begin by reviewing valuation principles for European contingent claims in a financial market in which the underlying asset price follows an Itô...