Modelling the volatility of commodity prices and creating more reliable models for estimating and forecasting commodity price returns are crucial. The body of research on statistical models that can fully reflect the empirical characteristics of commodity price returns is lacking. The main aim...

We propose an efficient pricing method for arithmetic Asian options based on Fourier-cosine expansions. In particular, we allow for mean reversion and jumps in the underlying price dynamics. There is an extensive body of empirical evidence in the current literature that points to the existence...

In this paper, we explore the highly efficient valuation of financial options under a double exponential jump framework, with stochastic volatility and jump intensity. In particular, we investigate both the accuracy and efficiency of pricing options using the novel Shannon wavelet inverse...