Pricing European-style Asian options based on the arithmetic average, under the Black and Scholes model, involves estimating an integral (a mathematical expectation) for which no easily computable analytical solution is available. Pricing their American-style counterparts, which provide early...

In this paper, we develop an efficient algorithm to value options under discrete-time GARCH processes. We propose a procedure based on dynamic programming coupled with piecewise polynomial approximation to compute the value of a given option, at all observation dates and levels of the state...

We propose a flexible framework for pricing single-name knock-out credit derivatives. Examples include Credit Default Swaps (CDSs) and European, American and Bermudan CDS options. The default of the underlying reference entity is modelled within a doubly stochastic framework where the default...

The aim of this paper is to price options embedded in bonds in a Dynamic Programming (DP) framework, the focus being on call and put options with advance notice. The pricing of interest rate derivatives was usually done via trees or finite differences. Trees are not really very efficient as they...