This paper suggests a Markov-switching model to evaluate commodity futures and spot
dynamics, such that the diffusion coefficients and jump size parameter are associated with a …

In this paper, we consider the pricing of American options under a regime-switching double
Heston model, such that the interest rate and mean-reversion level parameters in both …

In this paper, we introduce a regime-switching model, such that the volatility of the model
depends on the asset price. In this model, the interest rate and the volatility are associated …

Jump in electricity prices is often due to shock in electricity demand or shock in existing
electricity supplies, which can be caused by sudden changes in temperature or production …

This paper proposes a stochastic volatility model based on the Cox-Ingersoll-Ross process
for stock market modeling. We derive a semi-analytical solution of the higher order moments …

This paper proposes a novel approach to pricing of American put option under double
Heston model. We develop an analytical solution to the double Heston partial differential …

One of the most noticeable and widely used stochastic volatility models is the Heston model
[15]. The volatility of this model follows a mean reverting Cox-Ingersoll-Ross (CIR) process …

This study considers the American VIX option pricing problem under the models of mixing
the 3/2, and 1/2 classes of volatility processes. The pricing formulas for the perpetual …

‎ This study suggests a novel approach for calibrating European option pricing model by a
hybrid model based on the optimized artificial neural network and Black-Scholes model‎.‎ In …

In this paper, we discuss the calibration of the geometric Brownian motion model equipped
with Markov-switching factor. Since the motivation for this research comes from a recent …