Real options have been growing in popularity in recent years, and this has been accompanied
by improvements in their modelling and valuation. Real options enable companies or …

This paper proposes and develops a novel, simple, widely applicable numerical approach
for option pricing based on quadrature methods. Though in some ways similar to lattice or …

The exposition of the quadrature (QUAD) method (Andricopoulos, Widdicks, Duck, and
Newton, 2003. Universal option valuation using quadrature methods. Journal of Financial …

In this paper, novel singular perturbation techniques are applied to price European, American,
and barrier options. Employment of these methods leads to a significant simplification of …

For derivative securities that must be valued by numerical techniques, the trade‐off between
accuracy and computation time can be a severe limitation. For standard lattice methods, …

In times of financial crisis, solvency concerns are reflected in market prices for financial
instruments. Credit default swap (CDS) spreads provide a direct measure of the market’s (risk-…

When valuing options using standard lattice and finite-difference methods much of the
computational effort is often unnecessary because the grid/lattice generally includes computations …

Guided by academic literature, industry practice and policy recommendations, we analyze a
wide range of option and restricted stock plans with exercise and vesting conditions that …

The basic Monte Carlo procedure for option pricing is appealing and simple to implement,
and thus a popular tool for practitioners. Unmodified, though, it suffers from two serious …

Except in very special cases numerical methods are required to price options with early
exercise features. This thesis formulates the pricing problem and examines the existing …