Utilizing frame duality and a FFT-based implementation of density projection we develop a
novel and efficient transform method to price Asian options for very general asset dynamics …

Financial institutions always strive for effective valuation of prices of exotic financial
derivatives and risk positions of portfolios of risky instruments. Most problems in pricing …

This paper studies the constructing methods of a recombined multinomial tree based on
saddle-point approximation and its application to Levy models options pricing. Firstly, the …

This paper evaluates the prices of European-style options when dynamics of the underlying
asset is assumed to follow a Markov-switching Heston's stochastic volatility model. Under …

Pricing a volatility swap is a highly nonlinear problem. Explicit solutions of the prices of
volatility swaps are notoriously difficult to find. In this paper, we consider a saddlepoint …

The stock market is considered as a pathway for earning returns and achieving financial
goals by leveraging well-timed investment and trading decisions. This study delves into two …

Economic and financial data display diverse behavior at different time intervals due to their
dynamics and stochastic nature. To build explanatory models, different time periods with …

The Fourier inversion method solves the Heston option pricing formula. However, this
method does experience the noteworthy disadvantage of a computationally sedate solution …

The Fourier inversion method solves the Heston option pricing formula. However, this
method does experience the noteworthy disadvantage of a computationally sedate solution …

Data from the financial markets are a source of challenging inference problems. Machine
learning tools are increasingly used for the analysis of financial data. They are observed to …