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...

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...

We tackle the problem of computing fair periodical premiums of an equity-linked policy with a maturity guarantee and an embedded surrender option. We consider the policy as a Bermudan-style contingent claim that can be exercised at the premium payment dates. The evaluation framework is based on...