We study the convergence of the binomial, trinomial, and more generally m-nomial tree schemes when evaluating certain European path-independent options in the Black-Scholes setting. To our knowledge, the results here are the first for trinomial trees. Our main result provides formulae for the...

This work aims to investigate the main problems that impact the pricing models and the sensitivity measures of American options written on shares without a pay-out, in the presence of negative interest rates with a specific focus on the Monte Carlo method. The first paragraph carries out a...

In this paper, we focus on two-factor lattices for general diffusion processes with state-dependent volatilities. Although it is common knowledge that branching probabilities must be between zero and one in a lattice, few methods can guarantee lattice feasibility, referring to the property that...

In this paper, we focus on two-factor lattices for general diffusion processes with state-dependent volatilities. Although it is common knowledge that branching probabilities must be between zero and one in a lattice, few methods can guarantee lattice feasibility, referring to the property that...

This work investigates the intertemporal portfolio optimization of professional portfolio managers. It analyzes whether the special conditions of delegation in which portfolio managers make investment decisions - compensation depending on assets under management, capital flow depending on past...