We value UK executive stock options (ESOs) as American options that areawarded conditional on the probability of the holders achieving some performancecriteria. Unlike the standard Black and Scholes (BS) model, which is universally usedboth in the literature and practice, this provides a more...

We price European-style options on assets whose probability distributions have two unknown parameters. We assume a pricing kernel which also has two unknown parameters. When certain conditions are met, a two-dimensional risk-neutral valuation relationship exists for the pricing of these options:...

This paper compares the pricing and hedging performance of the LMM model against two spot-ratemodels, namely Hull-White and Black-Karasinski, and the more recent Swap Market Model from anAsset-Liability-Management (ALM) perspective. In contrast to previous studies in the literature, ouremphasis...

In this paper, we compare two one-factor short rate models: the Hull White model and the Black-Karasinski model. Despite their inherent shortcomings the short rate models are being used quiteextensively by the practitioners for risk-management purposes. The research, as part of...

This paper tests the co-terminal swap market model (SMM) pricing and hedging performance onBermudan swaptions. To our knowledge, the drift for SMM is derived explicitly for the first timehere, and the procedures for calibration and simulation using a collection of forward swap rates arealso...