This paper discusses the European option pricing problem in the context of asset prices
being influenced by liquidity risks and economic cycles. We employ regime switching for …

We introduce a novel stochastic volatility model where the squared volatility of the asset
return follows a Jacobi process. It contains the Heston model as a limit case. We show that …

Purpose The purpose of this study is to analyse and compile the literature on various option
pricing models (OPM) or methodologies. The report highlights the gaps in the existing …

This paper evaluates the improvement in option pricing brought about by realized volatility
(RV) through nonaffine dynamics as advocated by Christoffersen et al.(2014). We …

In this paper, the impact of liquidity on the underlying asset is taken into account when
pricing European options through a discounting factor which depends on two factors, ie …

Empirical evidence indicates that asset returns adhere to an extended normal distribution
characterized by excessive kurtosis and non-zero skewness. Consequently, option prices …

In this work we derive new closed-form pricing formulas for VIX options in the jump-diffusion
SVJJ model proposed by Duffie et al.[Econometrica, 2000, 68, 1343–1376]. Our approach is …

Theoretical models applied to option pricing should take into account the empirical
characteristics of financial time series. In this paper, we show how to price basket options …

This paper demonstrates the efficiency of using Edgeworth and Gram-Charlier expansions
in the calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion …

In this paper, we focus on vulnerable options using the bivariate Gram–Charlier
approximation, rather than any specific stochastic processes as in previous studies on …