Exotic options are financial derivatives which have complex features including path-dependency. These complex features make them difficult to price, as only computationally intensi...
Anson H. T. Tse, David B. Thomas, Kuen Hung Tsoi, ...
This is a great draft book about stochastic calculus and finance. It covers large number of topics such as Introduction to Probability Theory, Conditional Expectation, Arbitrage Pr...
Numerical methods are developed for pricing European and American options under Kou's jump-diffusion model which assumes the price of the underlying asset to behave like a ge...