Many financial assets, such as currencies, commodities, and equity stocks, exhibit both
jumps and stochastic volatility, which are especially prominent in the market after the …

Utilizing frame duality and a FFT-based implementation of density projection we develop a
novel and efficient transform method to price Asian options for very general asset dynamics …

This paper considers the numerical pricing of European, American and Butterfly options
whose asset price dynamics follow the regime switching jump diffusion process. In an …

The goal of this paper is to show that the jump-diffusion models are an essential and easy-to-
learn tool for option pricing and risk management, and that they provide an adequate …

This note examines a numerical approach for computing American option prices in the
lognormal jump–diffusion context. The approach uses the known transition density of the …

We consider European options pricing with double jumps and stochastic volatility. We
derived closed‐form solutions for European call options in a double exponential jump …

Analytical tractability is one of the challenges faced by many alternative models that try to
generalize the Black-Scholes option pricing model to incorporate more empirical features …

We provide methodologies to price discretely monitored exotic options when the underlying
evolves according to a double exponential jump diffusion process. We show that discrete …

This paper aims to extend the analytical tractability of the Black–Scholes model to alternative
models with arbitrary jump size distributions. More precisely, we propose a jump diffusion …

We propose a new computational method for the valuation of options in jump-diffusion
models. The option value function for European and barrier options satisfies a partial …