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Discrete-Time Survival Trees
Tree-based methods are frequently used in studies with censored survival time. Their structure and ease of interpretability make them useful to identify p...
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In this paper, we develop an efficient algorithm to price options under discrete time GARCH processes. We propose a procedure based on dynamic programming c...
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We propose a general setting for pricing single-name knock-out credit derivatives. Examples include Credit Default Swaps (CDS), European and Bermudan CDS op...
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Installment options are a generalization of compound options, where the holder periodically decides whether to keep an option alive or not by paying the ins...
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We propose a Dynamic Programming (DP) approach combined with approximation for pricing options embedded in bonds, the focus being on call and put options wit...
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Several methods for reducing the variance in the context of Monte Carlo simulation are based on correlation induction. This includes antithetic variates, L...
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Installment options are Bermudan-style options where the holder periodically decides whether to exercise or not and then to keep the option alive or not (by ...
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Call and put options embedded in bonds are of American-style, and cannot be priced in a closed-form. In this paper, we formulate the problem of pricing thes...
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Pricing Asian options based on the arithmetic average, under the Black and Scholes model, involves estimating an integral (a mathematical expectation) for w...
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A hedger of a contingent claim may decide to partially replicate on some states of nature and not on the others: A partial hedge initially costs less than a...
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