Many e±cient and accurate analytical methods for pricing American options now exist. However, while they can produce accurate option prices, they often do not give accurate critical stock prices. In this paper, we propose two new analytical approximations for American options based on the...

We present a quasi-analytical method for pricing multi-dimensional American options based on interpolating two arbitrage bounds, along the lines of Johnson (1983). Our method allows for the close examination of the interpolation parameter on a rigorous theoretical footing instead of empirical...

The market evolution since the end of 2007 has been characterized by an increase of systemic risk and a high number of defaults. Realized recovery rates have been very dispersed and different from standard assumptions, while 60%-100% super-senior tranches on standard indices have started to...

We prove that the Heston volatility is Malliavin differentiable under the classical Novikov condition and give an explicit expression for the derivative. This result guarantees the applicability of Malliavin calculus in the framework of the Heston stochastic volatility model. Furthermore we...

The probability density function for survivals, that is for transitions without hitting the barrier, for a collection of particles driven by correlated Brownian motions is analyzed. The analysis is known to lead one to a study of the spectrum of the Laplacian on domains on the sphere in higher...

The probability density function for survivals, that is for transitions without hitting a barrier, for a collection of particles driven by correlated Brownian motions is analyzed. The analysis is known to lead to a study of the spectrum of the Laplacian on domains on the sphere in higher...

The probability density function for survivals, that is for transitions without hitting a barrier, for a collection of particles driven by correlated Brownian motions is analyzed. The analysis is known to lead to a study of the spectrum of the Laplacian on domains on the sphere in higher...

We give a complete and self-contained proof of the existence of a strong solution to the free boundary and optimal stopping problems for pricing American path dependent options. The framework is su±ciently general to include geometric Asian options with non-constant volatility and recent...

Many derivatives products are directly or indirectly associated with integrated diffusion processes. We develop a general perturbation method to price those derivatives. We show that for any positive diffusion process, the hitting time of its integrated process is approximately normally...

We develop an approximation technique for pricing finite-maturity timer options under Heston-like stochastic volatility models. By approximating the distributions of the accumulated variance and the random variance budget exceeding time, we obtain analytic expressions for timer option prices...