The article studies the valuation and optimal management of Time Charters with Purchase
Options (T/C–POPs), which is a specific type of asset lease with embedded options that is …

The Hull–White (HW) model is a widely used one-factor interest rate model because of its
analytical tractability on liquidly traded derivatives, super-calibration ability to the initial term …

This book covers fundamental concepts in financial markets and asset pricing such as
hedging, arbitrage, speculation in different markets, classical models for pricing of simple …

Closed-form solutions for derivatives pricing problems yield exact prices nearly
instantaneously. But for only a handful of actual derivatives are payoff structures simple …

A new efficient numerical method is proposed for valuation of American option on zero‐
coupon bond using Hull and White model. By applying the front‐fixing transformation …

This paper reviews the finite difference method (FDM) for pricing interest rate derivatives
(IRDs) under the Hull–White Extended Vasicek model (HW model) and provides the …

A wide variety of computational schemes have been proposed for the numerical valuation of
various classes of options. Experiences in numerical computation have revealed that the …

The main goal of this paper is to propose a novel numerical algorithm to price American
options on bonds. For this purpose, we illustrate the performance of this method by means of …

We use spreadsheets to illustrate the concepts and techniques of arbitrage-free option
pricing. We show how to implement both discrete (binomial) models and continuous (Black …

This paper proposes a double-sided flexibility in adjusting the lease price as an alternative,
more accessible tool for managing revenues or controlling costs in volatile markets. The …