We evaluate, analytically, a specific class of eighth order and tenth order QED contributions
to the anomalous magnetic moment of the muon. They are generated by Feynman diagrams …

In this article, we first provide a survey of the exponential option pricing models and show
that in the framework of the risk-neutral approach, they are governed by the space-fractional …

We propose a method of optimization of asset allocation in the case where the stock price
variations are supposed to have "fat" tails represented by power laws. Generalizing over …

This work studies the valuation and optimal surrender of variable (equity-linked) annuities
under a Lévy-driven equity market with mortality risk. We consider a practical periodic fee …

We establish several closed pricing formulas for various path-independent payoffs, under an
exponential Lévy model driven by the Variance Gamma process. These formulas take the …

In this paper, we show that the price of an European call option, whose underlying asset
price is driven by the space-time fractional diffusion, can be expressed in terms of rapidly …

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. …

In this paper, we focus on option pricing models based on space-time fractional diffusion.
We briefly revise recent results which show that the option price can be represented in the …

We consider several market models, where time is subordinated to a stochastic process.
These models are based on various time changes in the Lévy processes driving asset returns, …

… previously been derived using the Mellin transform in Aguilar (Citation2020b) in the particular
… In the NIG case, we focus on extending the results obtained in Aguilar (Citation2021a) to …