Many underlying assets of option contracts, such as currencies, commodities, energy,
temperature and even some stocks, exhibit both mean reversion and stochastic volatility …

In this paper we develop an efficient tree approach for option pricing when the underlying
asset price follows a regime-switching model. The tree grows only linearly as the number of …

It is well known that the price of a European vanilla option computed in a binomial tree
model converges toward the Black‐Scholes price when the time step tends to zero …

We develop an algorithm to price American options on assets that follow the stochastic
volatility model defined by Heston. We use an approach which is based on a modification of …

The problem of option pricing is treated using the Stochastic Volatility (SV) model: the
volatility of the underlying asset is a function of an exogenous stochastic process, typically …

In a recent study, Nawalkha, Beliaeva, and Zreik (NBZ)(2010) presented a multidimensional
transform for generating path-independent trees for pricing American options under low …

A simple option‐pricing formula based on the Weibull distribution is introduced. The
simplicity of the algebraic form and ease of implementation are comparable to those of Black …

The pricing of American options on stocks was rendered computable by the work of Cox et
al.(1979)(CRR) and the ensuing work of Jarrow and Rudd (1983). They developed a …

In this paper, we propose a general time-inhomogeneous continuous-time Markov chain
(CTMC) framework for the approximation of the general one-dimensional and two …

We propose an efficient hybrid tree/finite difference method in order to approximate the
Heston model (and possibly other stochastic volatility models). We prove the convergence …