Timer options are financial instruments, first proposed by Société Générale Corporate and
Investment Banking in 2007, which allow investors to exercise the options randomly under …

This paper investigates the pricing of exchange options under hybrid models integrating
stochastic volatility and stochastic interest rates. It aims to achieve two primary objectives …

In this paper, we study the valuation of options with hybrid default risk when the underlying
assets are driven by a two-factor stochastic volatility model. The hybrid default model is …

With the development of financial markets, the trading of financial derivatives has become
more flexible. To meet the demands of investors, over-the-counter (OTC) trading of options …

Under the comprehensive model of assets which satisfy the triple conditions of stochastic
jump, stochastic volatility, and stochastic interest rate, the pricing problem of reset options …

This thesis aims to price the exchange option in two different scenarios theoretically. First,
we consider a continuous-time, finite-state regime-switching framework to price such an …

This paper investigates the valuation of vulnerable exchange options with two underlying
assets that follow a two-factor volatility model. We employ a reduced-form model …

A path-dependent option is an exotic option, the value of which relies on the path of an
asset, as well as the price of the underlying asset throughout all or part of the life of the …

Foreign exchange options are derivative financial instruments that can exchange one
currency for another at a prescribed exchange rate on a specified date. In this study, we …

If corporate executives are responsible for investment decision-making, their executive stock
options (ESOs) payoffs shall be contingent on decision-making results. This study proposes …