This paper investigates the valuation of currency options when the underlying currency follows a mean-reverting lognormal process with multi-scale stochastic volatility. A closed-form solution is derived for the characteristic function of the log-asset price. European options can then be valued...

This paper examines variance swap pricing using a model that integrates three major features of financial assets, namely the mean reversion in asset price, multi-factor stochastic volatility (SV) and simultaneous jumps in prices and volatility factors. Closed-form solutions are derived for...