This paper examines the pricing of options by approximating extensions of the Black {Scholes
setup in which volatility follows a separate di usion process. It generalizes the well {known …

Binomial models, which describe the asset price dynamics of the continuous-time model in
the limit, serve for approximate valuation of options, especially where formulas cannot be …

Leisen and Reimer (1996) suggested to consider the order of convergence as a measure of
convergence speed for European call options. In this paper we study in a first step the …

We study a structural model of individual bank defaults across the banking sector; banks are
interconnected through their exposure to a common risk factor. The paper introduces a …

This paper characterizes the equilibrium demand and risk premiums in the presence of
skewness risk. We extend the classical mean-variance two-fund separation theorem to a three-…

This paper uses real options analysis to study later round financing in the presence of two
standard venture capital contracting provisions: anti-dilution (ratchet) and liquidation …

This paper constructs a model for the evolution of a risky security that is consistent with a set
of observed call option prices. It explicitly treats the fact that only a discrete data set can be …

In this paper we study a binomial model with random time steps and explain how to calculate
values for European and American call and put options. We prove both weak convergence …

This paper discusses the pitfalls in the pricing of barrier options using approximations of the
underlying continuous processes via discrete lattice models. To prevent from numerical …

This paper analyses what determines an individual investor's risk-sharing demand for options
and, aggregating across investors, what the equilibrium demand for options. We find that …