Pricing options on a stock that pays discrete dividends has not been satisfactorily settled in the literature. Frishling (2002) shows that there are three different models to model stock price with discrete dividends, but only one of these models is close to reality and generates consistent...

Pricing options on a stock that pays discrete dividends has not been satisfactorily settled because of the conflicting demands of computational tractability and realistic modelling of the stock price process. Many papers assume that the stock price minus the present value of future dividends or...

Asian options are a kind of path-dependent derivative. How to price such derivatives efficiently and accurately has been a long-standing research and practical problem. This paper proposes a novel multiresolution (MR) trinomial lattice for pricing European- and American-style arithmetic Asian...

Valuing guaranteed minimum withdrawal benefit (GMWB) has attracted significant attention from both the academic field and real world financial markets. However, some popular provisions of GMWB contracts, like the deferred life annuity structure, rollup interest rate guarantees, and surrender...

This paper presents a general and numerically accurate lattice methodology to price risky corporate bonds. It can handle complex default boundaries, discrete payments, various asset sales assumptions, and early redemption provisions for which closed-form solutions are unavailable. Furthermore,...

The geometric average trigger reset option resets the strike price based on the geometric average of the underlying asset's prices over a monitoring window. Similar contracts have been traded on exchanges in Asia. This paper derives an analytic formula for pricing this option with multiple...