This paper develops a Monte Carlo simulation method for solving option valuation problems.
The method simulates the process generating the returns on the underlying asset and …

A procedure is developed for the valuation of options when there are two underlying state
variables. The approach involves an extension of the lattice binomial approach developed by …

Option replication is discussed in a discrete‐time framework with transaction costs. The
model represents an extension of the Cox‐Ross‐Rubinstein binomial option pricing model to …

We develop a numerical approximation method for valuing multivariate contingent claims.
The approach is based on an n-dimensional extension of the lattice binomial method. Closed-…

This paper introduces and illustrates a new version of the Monte Carlo method that has
attractive properties for the numerical valuation of derivatives. The traditional Monte Carlo …

The prices of death benefit guarantees and maturity benefit guarantees under equity-linked
contracts are obtained under conditions of market equilibrium using some recent results from …

The Society of Actuaries (SOA) Foundation and Lincoln National Corporation have
sponsored the publication of a new textbook for actuaries entitled. Financial Economics: With …

This paper analyses the distribution of returns on a hedged portfolio, consisting of a European
call option and its associated stock, when the portfolio is rebalanced at discrete time …

This paper examines the pricing of lookback and barrier options when the underlying asset
follows the constant elasticity of variance (CEV) process. We construct a trinomial method to …

… Our results are based on the Canadian environment and more complete details are given
in Boyle and Hardy (1996). The underlying portfolio corresponds to a well-diversified equity …