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 …

This paper presents an uncertain stock model under the multifactor uncertain volatility
framework. Based on the uncertainty theory, some closed-form and analytical formulas …

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 …

Abstract The Barndorff–Nielsen and Shephard (BNS) model is a representative jump-type
stochastic volatility model. Still, no method exists to compute option prices numerically for …

Highway infrastructure is critical to the sustainable development of a country. Nonetheless,
these capital-intensive projects, especially in build-operate-transfer (BOT) contracts, are …

In this work, we investigate the double Heston model dynamics which is defined by two
independent variance processes with non-Lipschitz diffusions. Next, it is analysed the strong …

This paper presents an extension of double Heston stochastic volatility model by
incorporating stochastic interest rates and derives explicit solutions for the prices of the …

Asset return distributions usually have peaks, fat tails and skewed tails, because of the
impact of extreme events outside financial markets. The Tsallis distribution has the peak and …

Option pricing has always been an important issue in the financial field. Unlike the classical
stochastic theory, we investigate the valuation of Asian options under the assumption that …

不确定金融是不确定理论在现代金融领域的一种应用, 在解决金融问题中发挥着越来越重要的
作用. 而利率是一个重要的经济指标, 经常受到一些不确定因素的影响, 在研究期权定价时 …