Theoretical models are derived for pricing derivative market instruments with payoff structures identical to those implied by the deficiency, Findley, and loan programs. Numerical approximation methods are used to obtain market premiums for the exotic contingent claims embedded in these types of...

This paper introduces and illustrates a new version of the Monte Carlo method that has attractive properties for the numerical valuation of derivatives. The traditional Monte Carlo method has proven to be a powerful and flexible tool for many types of derivatives calculations. Under the...