numerical experiments on the option pricing. This dissertation includes detailed algorithms as well as programming code in C to …

maturity, but, similarily to most corporate debt, includes an embedded issuer's call option. To obtain acceptance as risk … of debt. We value the call feature as a European option on perpetual defaultable debt. We do this by first modifying the … underlying asset process to incorporate a time dependent bankruptcy level before the expiration of the embedded option. We …

barrier option on a bond. Secondly, we solve explicitly the optimal portfolio problem in our framework. Related to this issue …

by the employee due to the option's American feature is modeled as endogenous exercise. The Crank-Nicholson numerical … option holder would rationally exercise the option early even when the underlying stock pays no dividend. The model also …

evaluating the price of interest rate options. In this paper, we will derive an option pricing formula based on the Bachelier …

This paper addresses several theoretical and practical issues in option pricing and implied volatility calibration in a … in general that any FBSI volatility surface will be free from calendar-spread arbitrage. The FBSI model is empirically …