The essential premise of this book is that theory and practice are equally important in
describing financial modeling. In it the authors try to strike a balance in their discussions …

A model with a closed-form solution is the Holy Grail of derivatives valuation, because as
computers have become increasingly powerful, exact answers to even very complicated …

This paper generalizes the seminal Cox-Ross-Rubinstein (CRR) binomial model by adding
a stretch parameter. The generalized CRR (GCRR) model allows us to fine-tune (via the …

In this paper, we study the rate of convergence of the European barrier call option price
given by the CRR binomial model to the Black–Scholes price as the number of periods n …

This paper provides a discrete time algorithm, in the framework of the Cox–Ross–Rubinstein
analysis (1979), to evaluate both Parisian options with a flat barrier and Parisian options …

This article proposes two value‐based standards for setting the initial margin requirements
on futures positions based on the observation that the distributions of the payoffs to futures …

Options are popular financial derivatives that play essential roles in financial markets. How
to price them efficiently and accurately is very important both in theory and practice. Options …

Options can be priced by the lattice model, the results of which converge to the theoretical
option value as the lattice's number of time steps approaches infinity. The time complexity of …

Two closely related O (n log n)-time tree algorithms under the Black–Scholes model are
presented, where n denotes the tree's number of time steps. The first finds the implied step …

Asian options are a kind of path-dependent derivative. How to price such derivatives
efficiently and accurately has been a long-standing research and practical problem. This …