The quest for new, innovative derivative products pushes financial institutions to design and develop more exotic forms of structured products, many of which are aimed toward the specific needs of the customers. Recently, there has been a growing popularity for path dependent options, so named since their payoff structures are...

An important issue in modeling asset returns is the change of dependence and market co-movement in different periods of the market. Early work has documented this issue for equity markets, along with evidence that changes in correlation caused deviations from multivariate normality characterized by asymmetric dependence. This is a stylized...

When considering some types of option, there sometimes exists a closed form solution which, under the Black-Scholes assumptions, delivers the ‘fair’ price of the option with respect to the various input parameters. For some of the more advanced option contracts, the closed form solution may not be so easy to...

Monte Carlo simulation is a legitimate and widely used technique for dealing with uncertainty in many aspects of business operations. The objective of any simulation study is to estimate an expectation () in some form or another thus this method can be readily applied to determine expected option value. Monte-Carlo...