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

We present an explicit formula and a multinomial approach for pricing contingent claims
under a regime-switching jump–diffusion model. The explicit formula, obtained as an …

This paper presents an improved continuous-time Markov chain approximation (MCA)
methodology for pricing derivatives and for calibrating model parameters. We propose a …

In this paper we consider a jump-diffusion dynamic whose parameters are driven by a
continuous time and stationary Markov Chain on a finite state space as a model for the …

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 develop a new estimation method for extracting non-affine latent stochastic
volatility and risk premia from measures of model-free realized and risk-neutral integrated …

This work presents an efficient computational framework for pricing a general class of exotic
and vanilla options under a versatile stochastic volatility model. In particular, we propose the …

We propose a new methodology for filtering and forecasting the latent variance in a two‐
factor diffusion process with jumps from a continuous‐time perspective. For this purpose we …

Its intuitiveness and the simplicity of its calculations make the seminal Black-Scholes-Merton
option pricing model the most commonly known and used among all asset pricing models …

A simple, efficient tree is developed to price options in a very general regime-switching jump
diffusion model. Under this model, the switching rates of the switching process depend on …