In this paper, a general binomial lattice framework, which is both computationally simple and numerically accurate, is developed for pricing real estate derivatives with stochastic interest rate. To obtain a computationally simple binomial tree with constant volatility, the transformation method...

We propose a new model in which option values are determined by economic variables. Given the price of the underlying asset and its volatility, the price of an option in the model depends on macroeconomic conditions. Using an index of current business conditions as the driver, the new model...

A key issue in understanding option pricing is the response of option implied volatility to macro-economic announcements. We use high frequency data on ASX SPI 200 Index Options to examine the response of option implied volatility, as well as higher moments of the underlying return distribution,...

This thesis investigates the predictive power of the Skewness and Kurtosis Adjusted Black Scholes model of Corrado and Su (1996) (CS) model in pricing three Australian option contracts (ANZ, BHP and CBA) maturing in March, June, September and December, during the 2007/2008 financial crisis...