The American early exercise constraint can be viewed as transforming the original linear two
dimensional stochastic volatility option pricing PDE into a PDE with a nonlinear source term…

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

An implicit method is developed for the numerical solution of option pricing models where it
is assumed that the underlying process is a jump diffusion. This method can be applied to a …

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 …

Convertible bonds are typically issued by firms which have both relatively high growth and
quite high risk. Convertibles can be difficult to value, given their hybrid nature of containing …

Discontinuities in the payoff function (or its derivatives) can cause inaccuracies for numerical
schemes when pricing financial contracts. In particular, large errors may occur in the …

The pricing equations derived from uncertain volatility models in finance are often cast in
the form of nonlinear partial differential equations. Implicit timestepping leads to a set of …

A jump diffusion model coupled with a local volatility function has been suggested by Andersen
and Andreasen (2000). By generating a set of option prices assuming a jump diffusion …

We assess the relative importance of various theoretical explanations of IPO underpricing
by focusing on models that assume that the IPO is the first stage of a multi-stage selling …

The linear asymptotic boundary condition, ie assuming that the second derivative of the value
of the derivative security vanishes as the asset price becomes large, is commonly used in …