This paper surveys the literature on option pricing from its origins to the present. An
extensive review of valuation methods for European-and American-style claims is provided …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

The world of quantitative finance (QF) is one of the fastest growing areas of research and its
practical applications to derivatives pricing problem. Since the discovery of the famous Black …

This first Australasian edition of Hull's bestselling Fundamentals of Futures and Options
Markets was adapted for the Australian market by a local team of respected academics …

The payoff of a barrier option depends on whether or not a specified asset price, index, or
rate reaches a specified level during the life of the option. Most models for pricing barrier …

The convergence of a penalty method for solving the discrete regularized American option
valuation problem is studied. Sufficient conditions are derived which both guarantee …

Most derivative securities must be priced by numerical techniques. These models contain
“distribution error” and “nonlinearity error”. The Adaptive Mesh Model (AMM) sharply …

This paper develops methods for relating the prices of discrete-and continuous-time
versions of path-dependent options sensitive to extremal values of the underlying asset …

This paper presents an implicit method for solving PDE models of contingent claims prices
with general algebraic constraints on the solution. Examples of constraints include barriers …

Discrete barrier and lookback options are among the most popular path-dependent options
in markets. However, due to the discrete monitoring policy almost no analytical solutions are …