Utilizing frame duality and a FFT-based implementation of density projection we develop a
novel and efficient transform method to price Asian options for very general asset dynamics …

We propose a highly efficient and accurate valuation method for exotic-style options based
on the novel Shannon wavelet inverse Fourier technique (SWIFT). Specifically, we derive an …

We propose a unified transform-based method, which we call the extended double spiral
(EDS) method, for pricing arithmetic Asian options under general two-dimensional (2D) …

This work presents an efficient computational framework for pricing a general class of exotic
and vanilla options under a versatile stochastic volatility model. In particular, we propose the …

We propose novel Bitcoin-denominated derivatives contracts on carbon bonds. We consider
a futures contract on carbon bonds where its price is expressed in terms of bitcoins. Then …

Exponential Lévy processes provide a natural and tractable generalization of the classic
Black–Scholes–Merton model which account for several stylized features of financial …

This paper proposes a unified approach for pricing discretely monitored floating and fixed
strike Asian options under a broad class of regime-switching and stochastic volatility models …

The continuous-time Markov chain (CTMC) approximation method is a powerful tool that has
recently been utilized in the valuation of derivative securities, and it has the advantage of …

We propose a new, data-driven approach for efficient pricing of–fixed-and floating-strike–
discrete arithmetic Asian and Lookback options when the underlying process is driven by …

In the present work, the SWIFT method for pricing European options is extended to Heston
model calibration. The computation of the option price gradient is simplified thanks to the …