An option contract now commonly encountered is the Asian quanto-basket option. This contract is useful for risk managers willing to participate to the return of an industrial sector with an international exposure without the foreign exchange risk exposition. Although the price of such contracts...

The method here to price discretely monitored barrier options in both constant and time-varying volatility valuation frameworks uses a time-homogeneous Markov chain to approximate the underlying asset price process. It provides a natural framework for this pricing process because the discrete...

As it is well known from the time-series literature, GARCH processes with non-normal shocks provide better descriptions of stock returns than GARCH processes with normal shocks. However, in the derivatives literature, American option pricing algorithms under GARCH are typically designed to deal...