Volatility derivatives are a class of derivative securities where the payoff explicitly depends
on some measure of the volatility of an underlying asset. Prominent examples of these …

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 …

In this paper, we present a highly efficient approach to price variance swaps with discrete
sampling times. We have found a closed‐form exact solution for the partial differential …

We develop analytical methodology for pricing and hedging options on the realized variance
under the Heston stochastic variance model (1993) augmented with jumps in asset returns …

In this paper, we examine and compare the performance of a variety of continuous‐time
volatility models in their ability to capture the behavior of the VIX. The “3/2‐model” with a …

We consider the pricing of options when the dynamics of the risky underlying asset are
driven by a Markov-modulated jump-diffusion model. We suppose that the market interest …

Abstract© The Institution of Engineering and Technology 2019. The modulus switching
technique has been used in some cryptographic applications as well as in cryptanalysis. For …

We investigate the problem of optimal dividend distribution for a company in the presence of
regime shifts. We consider a company whose cumulative net revenues evolve as a …

This study presents a set of closed-form exact solutions for pricing discretely sampled
variance swaps and volatility swaps, based on the Heston stochastic volatility model with …

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 …