This book is intended for readers who are quite familiar with probability and stochastic
processes but know little or nothing about finance. It is written in the definition/theorem/proof …

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

In the 2nd edition some sections of Part I are omitted for better readability, and a brand new
chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and …

In the past three decades, we have witnessed the phenomenal growth in the trading of
financial derivatives and structured products in the financial markets around the globe and …

Universitext is a series of textbooks that presents material from a wide variety of
mathematical disciplines at master's level and beyond. The books, often well class-tested by …

We develop lower and upper bounds on the prices of American call and put options written
on a dividend-paying asset. We provide two option price approximations, one based on the …

While American calls on non-dividend-paying stocks may be valued as European, there is
no completely explicit exact solution for the values of American puts. We use a technique …

In this article, we present a new method for pricing and hedging American options along with
an efficient implementation procedure. The proposed method is efficient and accurate in …

This article proposes to price an American option by approximating its early exercise
boundary as a multipiece exponential function. Closed form formulas are obtained in terms …

Focusing on recent developments in the field, American-Style Derivatives provides an
extensive treatment of option pricing with emphasis on the valuation of American options on …