We consider option pricing using recombining binomial trees, with a two-fold purpose. The
first is to introduce environmental, social and governance (ESG) sustainability valuation into …

We develop two alternate approaches to arbitrage-free, market-complete, option pricing. The
first approach requires no riskless asset. We develop the general framework for this …

Abstract Applying the Cherny-Shiryaev-Yor invariance principle, we introduce a generalized
Jarrow-Rudd (GJR) option pricing model with uncertainty driven by a skew random walk …

Using the Donsker–Prokhorov invariance principle, we extend the Kim–Stoyanov–Rachev–
Fabozzi option pricing model to allow for variably-spaced trading instances, an important …

Environmental, Social, and Governance (ESG) finance is a cornerstone of modern finance
and investment, as it changes the classical return-risk view of investment by incorporating an …

We develop a binary tree pricing model with underlying asset price dynamics following Itô–
McKean skew Brownian motion. Our work was motivated by the Corns–Satchell, continuous …

We consider option pricing using replicating binomial trees, with a two fold purpose. The first
is to introduce ESG valuation into option pricing. We explore this in a number of scenarios …

We develop asset pricing under a unified Bachelier and Black-Scholes-Merton (BBSM)
market model. We derive option pricing via the Feynman-Kac formula as well as through …

We introduce a discrete binary tree for pricing contingent claims with the underlying security
prices exhibiting history dependence characteristic of that induced by market microstructure …

The Bermudan option allows the contract holders to make and buy a hybrid contract
between American and European options. Bermudan option contract can be executed at …