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 …

Hybrid equity-rate derivatives are commonly traded between financial institutions, but are
challenging to price with traditional methods. Especially challenging are those contracts …

In this paper, we propose a general data-driven framework that unifies the valuation and risk
measurement of financial derivatives, which is especially useful in markets with thinly-traded …

We consider the pricing of variable annuities (VAs) with general fee structures under a class
of stochastic volatility models which includes the Heston, Hull-White, Scott, α …

In this paper we present new theoretical and practical insights into the method of dollar cost
averaging (DCA) and averaging-style investment timing strategies, with a formal analysis of …

Abstract Continuous time Markov Chain (CTMC) approximation techniques have received
increasing attention in the option pricing literature, due to their ability to solve complex …

This work introduces two new financial derivatives into the finance literature. The first is the
return barrier option, which has emerged recently as a popular contract in the OTC markets …

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 …

This work considers the calibration of exponential Lévy models to market options data and
the subsequent pricing of exotic options. We focus on a natural and promising extension of …