A study of the use and improvement of Hull and White's (1988) control variate technique in pricing options is provided. It contributes to the literature in two ways. First it is shown that it is not optimal to use the entire error of a control variate against its known price (usually a...

The American early exercise feature of the Real Option to invest in a new project is important in capital budgeting and project valuation. Closed form solutions for American, and therefore Real, Options are known for two special cases; an infinite horizon generates the Merton (Bell Journal of...

This study extends the Hull and White (1993 J. Derivatives 1 21-31) binomial method to construct a trinomial model for the valuation of American-style options whose strike price can be reset to a new level. The reset criterion is conditioned upon the average underlying asset price hitting the...