In this paper, we investigate the pricing issue of vulnerable options with stochastic volatility
by decomposing stochastic volatility into the long-term and short-term volatility. We describe …

This research examines the impact of fractional Brownian motion (fBm) on option pricing and
dynamic delta hedging. Through experimental simulations, we analyze the influence of the …

This work is devoted to almost sure and moment exponential stability of regime-switching
jump diffusions. The Lyapunov function method is used to derive sufficient conditions for …

We overcome the limitations of the previous literature in the European options pricing. In
doing so, we provide a closed-form formula that does not require any numerical …

in general, under unusual economic states, the traditional models of options are not
suitable.[...] there is a need to consider alternative stochastic processes and models that …

Given that the underlying assets in financial markets exhibit stylized facts such as
leptokurtosis, asymmetry, clustering properties and heteroskedasticity effect, this paper …

Given that underlying assets in financial markets exhibit stylized facts such as leptokurtosis,
asymmetry, clustering properties and heteroskedasticity effect, this paper applies the …

This paper proposes an efficient option pricing model that incorporates stochastic interest
rate (SIR), stochastic volatility (SV), and double exponential jump into the jump-diffusion …

Considering that financial assets returns exhibit leptokurtosis, asymmetry properties as well
as clustering and heteroskedasticity effect, this paper substitutes the logarithm normal jumps …

The main purpose of this work is to investigate the relation between some measures in
information theory and the accuracy of volatility forecasting using a model of asset returns …