We suggest an improved FFT pricing algorithm for discretely sampled Asian options with general independently distributed returns in the underlying. Our work complements the studies of Carverhill and Clewlow [Risk, 1990, 3(4), 25-29], Benhamou [J. Comput. Finance, 2002, 6(1), 49-68], and Fusai...

This paper proposes an integrated pricing framework for convertible bonds, which comprises firm value evolving as an exponential jump diffusion, correlated stochastic interest rates movements and an efficient numerical pricing scheme. By construction, the proposed stochastic model fits in the...

In the present paper, we convert the usual <italic>n</italic>-step backward recursion that arises in option pricing into a set of independent integral equations by using a <italic>z</italic>-transform approach. In order to solve these equations, we consider different quadrature procedures that transform the integral equation...