The recombining binomial tree approach, which has been initiated by Cox et al. (J Financ Econ 7: 229–263, <CitationRef CitationID="CR16">1979</CitationRef>) and extended to arbitrary diffusion models by Nelson and Ramaswamy (Rev Financ Stud 3(3): 393–430, <CitationRef CitationID="CR43">1990</CitationRef>) and Hull and White (J Financ Quant Anal 25: 87–100, <CitationRef CitationID="CR30">1990a</CitationRef>), is applied...</citationref></citationref></citationref>

This paper proposes the use of analytical approximations to price an heterogeneous basket option combining commodity prices, foreign currencies and zero-coupon bonds. The performance of three moment matching approximations is examined: inverse gamma, Edgeworth expansion around the lognormal and...

Accurately as well as efficiently calculating the early exercise boundary is the key to the highly nonlinear problem of pricing American options. Many analytical approximations have been proposed in the past, aiming at improving the computational efficiency and the easiness of using the formula,...

This paper proposes the use of analytical approximations to price an heterogeneous basket option combining commodity prices, foreign currencies and zero-coupon bonds. We examine the performance of three moment matching approximations: inverse gamma, Edgeworth expansion around the lognormal and...

The Lambert W is a transcendental function defined by solutions of the equation Wexp(W)=x. For real values of the argument, x, the W-function has two branches, W0 (the principal branch) and W−1 (the negative branch). A survey of the literature reveals that, in the case of the principal branch...