Estimation of generalized linear mixed models (GLMMs) with non-nested random effects structures requires the approximation of high-dimensional integrals. Many existing methods are tailored to the low-dimensional integrals produced by nested designs. We explore the modifications that are required...

We propose a Markov chain method for pricing discretely monitored barrier options in both the constant and time-varying volatility valuation frameworks. The method uses a time homogeneous Markov Chain to approximate the underlying asset price process. Our approach provides a natural framework...