We develop a pricing algorithm for US-style period-average reset options written on an underlying asset which evolves in a Cox-Ross-Rubinstein (CRR) framework. The averaging feature of such an option on the reset period makes the price valuation problem computationally unfeasible because the...

This article presents a path-independent model for evaluating interest-sensitive claims in a Heath--Jarrow--Morton (1992, Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation, <italic>Econometrica</italic>, 60, pp. 77--105) framework, when the volatility...

We present a binomial approach for pricing contingent claims when the parameters governing the underlying asset process follow a regime-switching model. In each regime, the asset dynamics is discretized by a Cox–Ross–Rubinstein lattice derived by a simple transformation of the parameters...

The computation of the fair periodical premiums for equity-linked policies in a Cox-Ross-Rubinstein (CRR) [Cox, J.C., et al., 1979. Option pricing: A simplified approach. J. Financial Economics 7, 229-263] evaluation framework is computationally complex. In fact, despite we assume that the...

We propose a model for pricing both European and American Asian options based on the arithmetic average of the underlying asset prices. Our approach relies on a binomial tree describing the underlying asset evolution. At each node of the tree we associate a set of representative averages chosen...