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 …

We define the classic Goldstein-Kac telegraph process performed by a particle that moves
on the real line with some finite constant speed and alternates between two possible …

Volatility products have become popular in the past 15 years as a hedge against market
uncertainty. In particular, there is growing interest in options on the VIX volatility index. A …

We develop and implement a method for maximum likelihood estimation of a regime-
switching stochastic volatility model. Our model uses a continuous time stochastic process …

The Markovian regime-switching paradigm has become one of the prevailing models in
mathematical finance. It is now widely known that under the regime-switching model, the …

This paper introduces dynamic models for the spot foreign exchange rate with capturing
both the rare events and the time-inhomogeneity in the fluctuating currency market. For the …

We analyze a number of techniques for pricing American options under a regime switching
stochastic process. The techniques analyzed include both explicit and implicit discretizations …

This study presents a pricing model for power exchange options, in which the possibility of
default by the risky counterparty as well as the arrival of important business information are …

This article discusses the pricing of derivatives in a continuous-time, hidden Markov-
modulated, pure-jump asset price model. The hidden Markov chain modulating the pure …

An efficient second-order method for pricing European and American options under regime-
switching jump-diffusion models is presented and analysed for stability and convergence …