Part I proposes a numeraire-invariant option pricing framework. It defines an option, its price process, and such … established in general. The american option is then defined, and its pricing formula (for all times) is presented. Applying a … notions as option indistinguishability and equivalence, domination, payoff process, trigger option, and semipositive option …

models in the affine- quadratic class for the purpose of contingent claims pricing and risk- management. In particular, we …

This paper tests empirically the performance of three structural models of corporate bond pricing, namely Merton (1974 …

In this paper, we assume that log returns can be modelled by a Levy process. We give explicit formulae for option … prices by means of the Fourier transform. We explain how to infer the characteristics of the Levy process from option prices …

currency prices and biases in Black­Scholes option prices decline with maturity. …

imperfections. In contrast, option pricing in practice often takes the market observed yield curve as given and focuses exclusively … yield curve, ignoring any pricing residuals on the yield curve that are either from model approximations or market … the pricing of interest rate derivatives. Specifically, we propose an m+ n model structure. The first m factors capture …