This paper analyses the robustness of Least-Squares Monte Carlo, a technique proposed by Longstaff and Schwartz (2001) for pricing American options. This method is based on least-squares regressions in which the explanatory variables are certain polynomial functions. We analyze the impact of...

<Para ID="Par1">We consider the valuation of options with stressed-beta in a reduced form model. Under this two-state beta model, we provide the analytic pricing formulae for the European options and American options as the integral forms. Specifically, we provide the integral representation of the early...</para>

This paper will demonstrate how European and American option prices can be computed under the jump-diffusion model using the radial basis function (RBF) interpolation scheme. The RBF interpolation scheme is demonstrated by solving an option pricing formula, a one-dimensional partial...

The game option, which is also known as Israel option, is an American option with callable features. The option holder can exercise the option at any time up to maturity. This article studies the pricing behaviors of the path-dependent game option where the payoff of the option depends on the...

We derive closed form European option pricing formulae under the general equilibrium framework for underlying assets that have an <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$N$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>N</mi> </math> </EquationSource> </InlineEquation>-mixture of transformed normal distributions. The component distributions need not belong to the same class but must all be transformed normal. An...</equationsource></equationsource></inlineequation>

We derive a closed-form solution for the price of a European call option in the presence of ambiguity about the stochastic process that determines the variance of the underlying asset’s return. The option pricing formula of Heston (Rev Financ Stud 6(2):327–343, <CitationRef CitationID="CR43">1993</CitationRef>) is a particular case of...</citationref>