Particle swarm optimization (PSO) is a population-based optimization method and has been
successfully applied to solve many real-world problems. This method belongs to the …

This paper proposes a new model with a two-factor stochastic equilibrium volatility level that
can be used to price variance and volatility swaps with nonlinear payoff. The adopted model …

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 …

This article deals with an European option pricing via proportional transaction costs in the
incomplete environment with and without arbitrage opportunities under two long memory …

Regime-switching models have been heavily studied recently, as they have some clear
advantages of over other non-constant volatility model to resolve the so-called smirk effect …

Asset dynamics with rough volatility recently received a great deal of attention in finance
because they are consistent with empirical observations. This article provides a detailed …

The paper focuses on the valuation of the European contract as a vanilla option and the
Arithmetic Asian contract as an exotic option, where the underlying asset price is driven by …

In this article, the foreign equity price and the foreign exchange rate are supposed to follow
the regime-switching multi-scale jump-diffusion processes. In addition, the correlations of the …

This paper suggests a new and efficient variance reduction technique based on the Monte-
Carlo simulation method for pricing the reinsurance contract in a regime-switching …