We consider a stochastic partial differential equation with logarithmic (or negative power) nonlinearity, with one reflection at 0 and with a constraint of conservation of the space average. The equation, driven by the derivative in space of a space-time white noise, contains a bi-Laplacian in...

Tree methods are among the most popular numerical methods to price financial derivatives. Mathematically speaking, they are easy to understand and do not require severe implementation skills to obtain algorithms to price financial derivatives. Tree methods basically consist in approximating the...

We propose a hybrid tree-finite difference method in order to approximate the Heston model. We prove the convergence by embedding the procedure in a bivariate Markov chain and we study the convergence of European and American option prices. We finally provide numerical experiments that give...

We consider the problem of pricing step double barrier options with binomial lattice methods. We introduce an algorithm, based on interpolation techniques, that is robust and efficient, that treats the "near barrier" problem for double barrier options and permits the valuation of step double...

We tackle the problem of computing fair periodical premiums of an equity-linked policy with a maturity guarantee and an embedded surrender option. We consider the policy as a Bermudan-style contingent claim that can be exercised at the premium payment dates. The evaluation framework is based on...

We consider the problem of pricing swing options with multiple exercise rights in Lévy-driven models. We propose an efficient Wiener--Hopf factorization method that solves multiple parabolic partial integro-differential equations associated with the pricing problem. We compare the proposed...