form pricing formula for European options is obtained by employing a modified Gram-Charlier series expansion, known as the …

The present article studies geometric step options in exponential Lévy markets. Our contribution is manifold and … derive various characterizations for both European-type and American-type geometric double barrier step options. In … American-type geometric down-and-out step call options under hyper-exponential jump-diffusion models. Lastly, we use the latter …

Given bid-offer quotes for a set of listed vanilla options, a fundamental need of option market makers is to …

This paper concerns the pricing of American options with stochastic stopping time constraints expressed in terms of the …

obtain a closed-form pricing formula for European options by employing a generalized Hermite expansion for the risk …

Following a trend of sustained and accelerated growth, the VIX futures and options market has become a closely followed … -- are unable to fit the entire term structure of VIX futures as well as the entire VIX options surface. In contrast, we …

The values of options on realized variance are significantly impacted by the discrete sampling of realized variance and … may be substantially higher than the values of options on continuously sampled variance (or, quadratic variation). Under … be applied to the value of options on continuously sampled variance. Our final result is remarkably compact and allows …

of LSV models enable controlling for the autocallables price while leaving the fit to European options unaffected …