Solving option pricing problems numerical methods form an essential part. This paper discusses five numerical methods: Black-Scholes-Merton, Monte Carlo, Binomial, Trinomial, and Finite Difference. A comparison of these methods for both European and American put options shows a graphical...

Cover -- Title Page -- Copyright -- Contents -- Preface -- Who Should Read this Book? -- PART A Mathematical Foundation for One‐Factor Problems -- CHAPTER 1 Real Analysis Foundations for this Book -- 1.1 Introduction and Objectives -- 1.2 Continuous Functions -- 1.2.1 Formal Definition of...

The majority of quasi-analytic pricing methods for American options are efficient near-maturity but are prone to larger errors when time-to-maturity increases. A new methodology, called the "extension"-method, is introduced to increase the accuracy of almost any existing quasi-analytic approach...