This paper has four goals: (a) relate ladder height distributions to option values; (b) show how Laguerre expansions may be used in the computation of densities, distribution functions and option prices; (c) derive some new results on the integral of geometric Brownian motion over a finite interval; (d) apply the preceding results to the determination of the distribution of the integral of geom...

American options are financial contracts that allow exercise at any time until expiration. While the pricing of standard American option contracts has been well researched, with a few exceptions no analytical solutions exist. Valuation of more involved American option contracts, which include multiple underlying assets or pathdependent payoff, is still to a high degree an uncharted area. Most n...

This paper applies real option pricing theory to the analysis of a sample of 15 recent mergers and acquisitions in the European Financial Services industry. Overall, it is found that those acquisitions were not on average overpaid. Nevertheless, further analysis, assuming the option premium equalled the takeover premium, shows that either the implicitly assumed volatility was too low, the assum...

Based upon the Fourier series expansion, we propose a simple and easy-to-use approach for computing accurate estimates of Black-Scholes double barrier option prices with time-dependent parameters. This new approach is also able to provide tight upper and lower bounds of the exact barrier option prices. Furthermore, this approach can be straightforwardly extended to the valuation of standard Eur...