From a technical point of view, the celebrated Black and Scholes option pricing formula was originally developed using a separation of variables technique. Howe

The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this

The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this

This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is designed for