The characteristic functions of many affine jump‐diffusion models, such as Heston's
stochastic volatility model and all of its extensions, involve multivalued functions such as the …

The purpose of this paper is to apply the stochastic volatility model driven by infinite activity
Lévy processes to option pricing which displays infinite activity jumps behaviors and time …

An alternative option pricing model is proposed, in which the stock prices follow a diffusion
model with square root stochastic volatility and a jump model with log-uniformly distributed …

This paper considers the problem of pricing American options when the dynamics of the
underlying are driven by both stochastic volatility following a square-root process as used by …

We analyze properties of prices of American options under Lévy processes and the related
difficulties for design of accurate and efficient numerical methods for pricing of American …

We present analytical solutions for two-dimensional Laplace transforms of barrier option
prices, as well as an approximation based on Laplace transforms for the prices of finite-time …

The characteristic functions of many affine jump-diffusion models, such as Heston's
stochastic volatility model and all of its extensions, involve multivalued functions such as the …

This paper presents a unified method for closed-form pricing of European options on assets
with diffusion prices. The method uses linear and nonlinear time and scale changes to …

We first discuss the positive volatility skew observed in the implied volatilities of VIX options.
To model this feature, we apply the square root stochastic variance model with variance …

This paper derives Monte Carlo simulation estimators to compute option price derivatives, ie,
the'Greeks,'under Heston's stochastic volatility model and some variants of it which include …