This article revisits the topic of two‐state option pricing. It examines the models developed
by Cox, Ross, and Rubinstein (1979), Rendleman and Bartter (1979), and Trigeorgis (1991) …

Recent work in statistical mechanics has developed new analytical and numerical techniques
to solve coupled stochastic equations. This paper applies the very fast simulated re-…

The advantage of Monte Carlo simulations is attributed to the flexibility of their implementation.
In spite of their prevalence in finance, we address their efficiency and accuracy in option …

… In this article, Jabbour, Kramin, and Young propose a lattice model in which the default
risk in complex capital structures becomes easier to deal with. One key to their approach is to …

The collapse of the fixed exchange rate system in 1973 led to volatile currency exchange
rates that are influenced by large financial transactions, higher mobility of capital, volatile …

Purpose – Credit derivatives continue to grow in popularity as well as complexity. While
single‐name credit default swaps are still the most popular instruments, second‐generation …

This article elaborates an n -order multinomial lattice approach to value derivative instruments
on asset prices characterized by a lognormal distribution. Nonlinear optimization is …

President Bush’s 2003 tax cut has revived the topic of dividend policy. Dividend payout
depends on many factors, such as earnings, size, and growth in addition to the tax rate. To study …

This article applies the first-passage-time approach to estimating default probabilities of
commercial mortgages and empirically tests the cash flow proposition of Vandell (1995) by …

Education is the cornerstone of development of all societies. Nowadays, with ever-growing
competition in the educational sector worldwide and in the Middle East in particular, …