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 …

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 …

Although jump-diffusion and Lévy models have been widely used in industry, the resulting
pricing partial-integro differential equations poses various difficulties for valuation. Diverse …

This paper surveys the developments in the finance literature with respect to applying the
Fourier transform for option pricing under affine jumpdiffusions. We provide a broad …

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 …

In this paper we consider a jump-diffusion dynamic whose parameters are driven by a
continuous time and stationary Markov Chain on a finite state space as a model for the …

In general, no analytical formulas exist for pricing discretely monitored exotic options, even
when a geometric Brownian motion governs the risk-neutral underlying. While specialized …

This paper introduces a general regime switching Levy process, and constructs the
characteristic function in closed form. Correlations between the underlying Markov chain …

We obtain a closed-form solution for the double-Laplace transform of Asian options under
the hyper-exponential jump diffusion model. Similar results were available previously only in …

We examine how to approximate a Lévy process by a hyperexponential jump-diffusion
(HEJD) process, composed of Brownian motion and of an arbitrary number of sums of …