Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure

Analytically pricing variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching

(2023) Sha Lin et al.   EXPERT SYSTEMS WITH APPLICATIONS

Analytically pricing exchange options with stochastic liquidity and regime switching

(2023) Xin‐Jiang He et al.   JOURNAL OF FUTURES MARKETS

Exchange options with stochastic liquidity risk

(2023) Puneet Pasricha et al.   EXPERT SYSTEMS WITH APPLICATIONS

A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching

(2022) Xin-Jiang He et al.   JAPAN JOURNAL OF INDUSTRIAL AND APPLIED MATHEMATICS

A new nonlinear stochastic volatility model with regime switching stochastic mean reversion and its applications to option pricing

(2022) Xin-Jiang He et al.   EXPERT SYSTEMS WITH APPLICATIONS

PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE

(2021) Huojun Wu et al.   PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES

Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion

(2021) Yu Yang et al.   JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching

(2021) Xin-Jiang He et al.   IMA Journal of Management Mathematics

A closed-form pricing formula for variance swaps under MRG–Vasicek model

(2019) Yuecai Han et al.   computational and applied mathematics

Pricing Vulnerable Options with Stochastic Volatility and Stochastic Interest Rate

(2019) Chaoqun Ma et al.   Computational Economics

A modified Black–Scholes pricing formula for European options with bounded underlying prices

(2018) Song-Ping Zhu et al.   COMPUTERS & MATHEMATICS WITH APPLICATIONS

A closed-form pricing formula for European options under the Heston model with stochastic interest rate

(2018) Xin-Jiang He et al.   JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

A General Valuation Framework for SABR and Stochastic Local Volatility Models

(2018) Zhenyu Cui et al.   SIAM Journal on Financial Mathematics

The collocating local volatility framework – a fresh look at efficient pricing with smile

(2018) Lech A. Grzelak   INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS

Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps

(2015) Farshid Mehrdoust et al.   JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION

On the Heston Model with Stochastic Interest Rates

(2011) Lech A. Grzelak et al.   SIAM Journal on Financial Mathematics

Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility

(2009) Alexander van Haastrecht et al.   INSURANCE MATHEMATICS & ECONOMICS

The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well

(2009) Peter Christoffersen et al.   MANAGEMENT SCIENCE

Extension of stochastic volatility equity models with the Hull–White interest rate process

(2009) Lech A. Grzelak et al.   QUANTITATIVE FINANCE

Pricing currency options under two-factor Markov-modulated stochastic volatility models

(2008) Tak Kuen Siu et al.   INSURANCE MATHEMATICS & ECONOMICS