This paper surveys some of the literature on American option pricing, in particular the representations of McKean (1965), Kim (1990) and Carr, Jarrow and Myneni (1992). It is proposed that the approach regarding the problem as a free boundary value problem, and solving this via incomplete...

The pricing of point barrier or discretely monitored barrier options is a difficult problem. In general, there is no known closed form solution for pricing such options. In this paper we develop a path integral approach to the evaluation of barrier options. This leads to a backward recursion...

We formulate European and American versions of a number of two-factor multiasset options (such as exchange options, quanto options and basket options) in a path integral framework via use of the Chapman-Kolmogorov equation. We show how to evaluate such options using Fourier-Hermite expansions...

Recent studies documented a sufficient forecasting performance of shadow-rate models in the low yields environment. Moreover, it has been shown that including the macro-variables into the shadow-rate models further improves the results. We build on these findings and evaluate for the U.S....