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...

The aim of this paper is to investigate the pricing of the Chicago Board of Trade (CBOT) Treasury-Bond futures. The difficulty in pricing it arises from its multiple inter-dependent embedded delivery options, which can be exercised at various times and dates during the delivery month. We...

The conversion factor system (CFS) is used in the determination of the invoice price of the Chicago Board of Trade Treasury-bond futures. As an alternative to the CFS, Oviedo [Oviedo, R.A., 2006. Improving the design of Treasury-Bond futures contracts. The Journal of Business 79, 1293-1315]...