Contingent convertible bonds (CoCos) are increasingly popular financial instruments used by banks to satisfy capital requirements. CoCos with market-based conversion triggers in particular receive much attention in the literature. The pricing of CoCos with such a market trigger is problematic as...

In this paper, a general binomial lattice framework, which is both computationally simple and numerically accurate, is developed for pricing real estate derivatives with stochastic interest rate. To obtain a computationally simple binomial tree with constant volatility, the transformation method...

We construct a Heston-type stochastic volatility model with a Markov switching regime to price a plain-vanilla stock option. A semi-analytic solution, which contains a matrix ODE is obtained and numerically calculated. Our model is flexible enough to provide a wide variety of volatility surfaces...

We propose a new model in which option values are determined by economic variables. Given the price of the underlying asset and its volatility, the price of an option in the model depends on macroeconomic conditions. Using an index of current business conditions as the driver, the new model...

This thesis investigates the predictive power of the Skewness and Kurtosis Adjusted Black Scholes model of Corrado and Su (1996) (CS) model in pricing three Australian option contracts (ANZ, BHP and CBA) maturing in March, June, September and December, during the 2007/2008 financial crisis...