A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model

Article Abstract:

A model is proposed for the pricing of US-type interest rate bond options for pure Gaussian processes factors that integrates the impact of skewness and kurtosis in the distribution of bond option price interest rates. The proposed model extends existing literature on such pricing models to pricing under Poisson-Gaussian processes in the Heath-Jarrow-Morton structure. It then allows the impact of skewness and kurtosis to be incorporated in the pricing of interest rate derivative securities.

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The compound option approach to American options on jump-diffusions

Article Abstract:

The analytical valuation formula for compound options is derived when the underlying asset follows a jump-diffusion process. The numerical results are applied to value extendible options, American call options on stocks that pay discrete dividends, and American options on assets that pay continuous proportional dividends.

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Small dimension PDE for discrete Asian options

Article Abstract:

The authors propose a model for determining prices of Asian options with non-proportional dividends.

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