We approximate the price of the American put for jump diffusions by a sequence of functions, which are computed iteratively. This sequence converges to the price function uniformly and exponentially fast. Each element of the approximating sequence solves an optimal stopping problem for geometric...

This paper provides a survey of recent numerical methods for pricing derivative securities. Methods for standard American options on a single underlying asset, barrier and lookback options and options on multiple assets are reviewed. Criteria for comparison of different approaches are discussed....

We propose a Markov chain method for pricing discretely monitored barrier options in both the constant and time-varying volatility valuation frameworks. The method uses a time homogeneous Markov Chain to approximate the underlying asset price process. Our approach provides a natural framework...

A useful feature of European and American options in the standard financial market model with constant coefficients is the property of put-call symmetry. This property states that the value of a put option with strike price K and maturity date T is the same as the value of a call option with...

In this paper we propose a transform method to compute the prices and Greeks of barrier options driven by a class of Levy processes. We derive analytical expressions for the Laplace transforms in time of the prices and sensitivities of single barrier options in an exponential Levy model with...

The seismic ground motion of a test area in the eastern district of Naples is computed with a hybrid technique based on the mode summation and the finite difference methods. This technique allows us the realistic modelling of source and propagation effects, including local soil conditions. In...

Several finite difference schemes are discussed for solving the two-dimensional Schrodinger equation with Dirichlet’s boundary conditions. We use three fully implicit finite difference schemes, two fully explicit finite difference techniques, an alternating direction implicit procedure and the...

This paper examines the effects of uncertainty through dynamic learning about the firm's project value in the real options framework. We extend the real options framework with incomplete information by allowing an unobserved state variable that drives profits to follow a stochastic process with...