In the present paper we provide an analytical solution for pricing discrete barrier options in the Black-Scholes framework. We reduce the valuation problem to a Wiener-Hopf equation that can be solved analytically. We are able to give explicit expressions for the Greeks of the contract. The...

Standard approaches to estimating credit default probability estimation have certain drawbacks, most importantly regarding the underestimation of the true default probability which remains an undesirable property in sovereign risk management. As an alternative, this research applies a...

In the present paper, we convert the usual <italic>n</italic>-step backward recursion that arises in option pricing into a set of independent integral equations by using a <italic>z</italic>-transform approach. In order to solve these equations, we consider different quadrature procedures that transform the integral equation...

In this paper we introduce a new fast and accurate numerical method for pricing exotic derivatives when discrete monitoring occurs, and the underlying evolves according to a Markov one-dimensional stochastic processes. The approach exploits the structure of the matrix arising from the numerical...

We present methodologies to price discretely monitored Asian options when the underlying evolves according to a generic Levy process. For geometric Asian options we provide closed-form solutions in terms of the Fourier transform and we study in particular these formulas in the Levy-stable case....