Welcome to Finance Press

Thanks for visiting. This site provides supplementary material for the “Option Valuation under Stochastic Volatility” books: material that you won’t find at Amazon or other selling sites.

For the latest book,
“Option Valuation under Stochastic Volatility II”, you can find:

In addition, you will find a blog by Alan L. Lewis, the author.


A featured chart from the latest book

Early exercise boundaries for the American put
Early exercise boundaries for the American put

What is it? This chart shows early exercise boundaries for the American-style put under discrete dividend models. The models are associated to Black-Scholes (geometric Brownian motion, or GBM) stock price evolution. How to handle discrete dividends is, remarkably (even in this basic GBM case), still a contentious issue more than 40 years after Black and Scholes’ seminal publication.

Two general approaches are: (i) piecewise GBM, using various dividend policies \mathcal{D}(S) , and (ii) escrowed dividends. The first two rows of the chart show the early exercise boundary in the (t,S) plane under piecewise GBM and various \mathcal{D}(S). The last row shows the same in the (t,\tilde{S}) plane under the escrowed dividend model, where \tilde{S} is the risky part of the stock price. More details are found in Chapter 9 of the latest book.

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