This paper considers the pricing of options when there are jumps in the pricing kernel and
correlated jumps in asset prices and volatilities. We extend theory developed by Nelson …

We present a very fast and accurate algorithm for calculating prices of finite lived double
barrier options with arbitrary terminal payoff functions under regime-switching hyper …

The stochastic differential equations for affine jump diffusion models do not yield exact
solutions that can be directly simulated. Discretization methods can be used for simulating …

Most of the existing pricing models of variance derivative products assume continuous
sampling of the realized variance processes, though actual contractual specifications …

An efficient method is developed for pricing American options on stochastic volatility/jump-
diffusion processes under systematic jump and volatility risk. The parameters implicit in …

In this paper we study the pricing and hedging of options on realized variance in the 3/2 non-
affine stochastic volatility model by developing efficient transform-based pricing methods …

Written by a leading contributor to volatility modeling and Risk's 2009 Quant of the Year, this
book explains how stochastic volatility is used to tackle practical issues arising in the …

In an incomplete market construction and by no-arbitrage assumption, the American options
pricing problem under the jump-diffusion regime-switching process is formulated by a …

We derive an asymptotic expansion formula for option implied volatility under a two-factor
jump-diffusion stochastic volatility model when time-to-maturity is small. We further propose …

Models which hypothesize that returns are pure jump processes with independent
increments have been shown to be capable of capturing the observed variation of market …