This study presents a set of closed-form exact solutions for pricing discretely sampled variance swaps and volatility swaps, based on the Heston stochastic volatility model with regime switching. In comparison with all the previous studies in the literature, this research, which obtains...

In this paper, an exact and explicit solution of the well-known Black-Scholes equation for the valuation of American put options is presented for the first time. To the best of the author's knowledge, a closed-form analytical formula has never been found for the valuation of American options of...