The latter author, together with collaborators, proposed a numerical scheme to calculate the price of barrier options. The scheme is based on a symmetrization of diffusion processes. The present paper aims to give a basis to the use of the numerical scheme for Heston and SABR-type stochastic...

In this paper a multi-factor generalization of Ho–Lee model is proposed. In sharp contrast to the classical Ho–Lee, this generalization allows for those movements other than parallel shifts, while it still is described by a recombining tree, and is a process with stationary independent...

In this paper some remarks on the interest rate model proposed by Jamishidian (1991) and Ritchken and Sankarasubramanian (1995b) are presented. Copyright Kluwer Academic Publishers 1999

We consider a heat kernel approach for the development of stochastic pricing kernels. The kernels are constructed by positive propagators, which are driven by time-inhomogeneous Markov processes. We multiply such a propagator with a positive, time-dependent and decreasing weight function, and...