Volatility derivatives are a class of derivative securities where the payoff explicitly depends
on some measure of the volatility of an underlying asset. Prominent examples of these …

Building upon the ideas introduced in their previous book, Derivatives in Financial Markets
with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives …

Based upon the fact that a constant long-term mean could not provide a good description of
the term structure of the implied volatility and variance swap curve, as suggested by …

Abstract© The Institution of Engineering and Technology 2019. The modulus switching
technique has been used in some cryptographic applications as well as in cryptanalysis. For …

In this paper, a closed-form pricing formula for European options in the form of an infinite
series is derived under the Heston model with the interest rate being another random …

In this paper, a new stochastic volatility model is proposed for European option pricing with
the long-term mean divided into two parts; one is controlled by a stochastic process, while …

In this paper, an additional factor is introduced into the Heston–Hull–White (HHW) hybrid
model, which originally combines the Heston stochastic volatility model and the Hull–White …

We introduce an additional factor in the Heston-CIR model to form a new hybrid model in
this paper. This new model features a more general correlation structure with the interest …

This paper presents an approximate formula for pricing average options when the
underlying asset price is driven by time-changed Lévy processes. Time-changed Lévy …

We consider the problem of pricing arithmetic Asian options in the presence of stochastic
volatility. By performing a change of numeraire introduced by Vĕcĕr, we derive a partial …