This paper presents a new model for the valuation of European options, in which the
volatility of returns consists of two components. One is a long-run component and can be …

This paper provides an optimal filtering methodology in discretely observed continuous-time
jump-diffusion models. Although the filtering problem has received little attention, it is useful …

We introduce downward volatility jumps into a general non-affine modeling framework of the
term structure of variance. With variance swaps and S&P 500 returns, we find that downward …

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 …

In this paper, the pricing of foreign exchange options is considered under a modified Heston–
Cox–Ingersoll–Ross hybrid model. This modified model reserves all the characteristics of …

Recent empirical studies have shown that GARCH models can be successfully used to
describe option prices. Pricing such contracts requires knowledge of the risk neutral …

In this paper, we demonstrate the need for a negative market price of volatility risk to recover
the difference between Black–Scholes [Black, F., Scholes, M., 1973. The pricing of options …

This comprehensive guide offers traders, quants, and students the tools and techniques for
using advanced models for pricing options. The accompanying website includes data files …

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 …

The current literature usually ignores the dependence between the rate of exchange and
two interest rates, ie, domestic and foreign ones, for the availability of analytical solutions to …