Tree-based methods are frequently used in studies with censored survival time. Their structure and ease of interpretability make them useful to identify p...

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...

We propose a general setting for pricing single-name knock-out credit derivatives. Examples include Credit Default Swaps (CDS), European and Bermudan CDS op...

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...

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...

Several methods for reducing the variance in the context of Monte Carlo simulation are based on correlation induction. This includes antithetic variates, L...

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 ...

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...

Pricing Asian options based on the arithmetic average, under the Black and Scholes model, involves estimating an integral (a mathematical expectation) for w...

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...