This paper proposes an integrated pricing framework for convertible bonds, which comprises firm value evolving as an exponential jump diffusion, correlated stochastic interest rates movements and an efficient numerical pricing scheme. By construction, the proposed stochastic model fits in the...

<section xml:id="fut21647-sec-0001"> We present a joint Monte Carlo‐Fourier transform sampling scheme for pricing derivative products under a Carr–Geman–Madan–Yor (CGMY) model (Carr et al. [Journal of Business, 75, 305–332, 2002]) exhibiting jumps of infinite activity and finite or infinite variation. The approach relies...</section>

We suggest an improved FFT pricing algorithm for discretely sampled Asian options with general independently distributed returns in the underlying. Our work complements the studies of Carverhill and Clewlow [Risk, 1990, 3(4), 25-29], Benhamou [J. Comput. Finance, 2002, 6(1), 49-68], and Fusai...

We present a joint Monte Carlo-Fourier transform sampling scheme for pricing derivative products under a Carr-Geman-Madan-Yor (CGMY) model (Carr et al. [Journal of Business, 75, 305-332, 2002]) exhibiting jumps of infinite activity and finite or infinite variation. The approach relies on...

In this paper we consider the problem of hedging an arithmetic Asian option with discrete monitoring in an exponential Lévy model by deriving backward recursive integrals for the price sensitivities of the option. The procedure is applied to the analysis of the performance of the delta and...

This paper proposes an integrated pricing framework for convertible bonds, which comprises firm value evolving as an exponential jump diffusion, correlated stochastic interest rates movements and an efficient numerical pricing scheme. By construction, the proposed stochastic model fits in the...

In this paper, we present a transform-based algorithm for pricing discretely monitored arithmetic Asian options with remarkable accuracy in a general stochastic volatility framework, including affine models and time-changed Lévy processes. The accuracy is justified both theoretically and...

Communicating a pension product well is as important as optimising the financial value. In a recent study, we showed that up to 80% of the value of a pension lump sum could be lost if customer communication failed. In this paper, we extend the simple customer interaction of the earlier...