Article1978

Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis

Michael John Brennan · Eduardo S. Schwartz

413 citations0/0 files storedJournal of Financial and Quantitative Analysis

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

Abstract

Michael J. Brennan, Eduardo S. Schwartz, Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis, The Journal of Financial and Quantitative Analysis, Vol. 13, No. 3 (Sep., 1978), pp. 461-474

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1973The Pricing of Options and Corporate Liabilities 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*2005Theory of rational option pricing 1976The valuation of options for alternative stochastic processes 1977Options: A Monte Carlo approach 1976The pricing of equity-linked life insurance policies with an asset value guarantee 1977THE VALUATION OF AMERICAN PUT OPTIONS 1977CONVERTIBLE BONDS: VALUATION AND OPTIMAL STRATEGIES FOR CALL AND CONVERSION

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1991Option Pricing With V. G. Martingale Components1 1993Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model 1995Rational Prepayment and the Valuation of Mortgage-Backed Securities 1990Simple Binomial Processes as Diffusion Approximations in Financial Models 1990Valuing Derivative Securities Using the Explicit Finite Difference Method 1998Challenges to the practical implementation of modeling and valuing real options

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