Univariate procedures for valuing contingent payoffs for a non-constant volatility process via
a recombining tree were developed by Nelson and Ramaswamy (RFS, 1990). Their results …

This paper develops bridge sampling path integral algorithms for pricing path-dependent
options under a new class of nonlinear state dependent volatility models. Path-dependent …

Heston (1993) presents a method to derive a closed-form solution for derivative pricing
when the volatility of the underlying asset follows stochastic dynamics. His approach works …

This paper describes a real options valuation method for situations where the underlying
asset may have negative values and the underlying project present value distribution is …

In this article, we suggest an efficient method of approximating a general, multivariate log-
normal distribution by a multivariate binomial process. There are two important features of …

There are two strands of literature dealing with the valuation of options when the asset return
volatility is stochastic. The first strand approaches option pricing with stochastic volatility in a …

Hull and White [1] have priced a European call option for the case in which the volatility of
the underlying asset is a lognormally distributed random variable. They have obtained their …

In this paper we study the pricing and hedging of options on realized variance in the 3/2 non-
affine stochastic volatility model by developing efficient transform-based pricing methods …

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 …

This research extends the binomial option-pricing model of Cox, Ross, and Rubinstein
(1979) and Rendleman and Barter (1979) to the case where the up and down percentage …