This thesis presents our study on using the hybrid stochastic-local volatility model for option pricing. Many researchers have demonstrated that stochastic volatility models cannot capture the whole volatility surface accurately, although the model parameters have been calibrated to replicate...

In this paper, we present our research on pricing window barrier options under a hybrid stochastic-local volatility (SLV) model in the foreign exchange (FX) market. Due to the hybrid effect of the local volatility and stochastic volatility components of the model, the SLV model can reproduce the...

Generators supplying electricity markets are subject to volatile input and output prices and uncertain fuel availability (water flows in the case of hydro and gas availability in the case of thermal plants). We show that a price-taking generator will only generate when the output price exceeds...

Our study is the first to investigate the implications of trading in options that expire on the same day - so-called "0DTE" options. Almost the entire growth of trading in S&P 500 index options can be traced back to demand for 0DTE options. We use recent exchange-related developments to identify...

In an arbitrage-free economy with non-zero bid-ask spreads the existence of payoffs whose price is lower than the price of a dominated payoff cannot be discarded in general. However, when the former price corresponds to trivial portfolios which involve buying or selling one unit of the basis...

In this paper we present an innovative and straightforward model for constructing consistent and accurate implied volatility surfaces. The parameters of this model are directly linked to measurable and observable market risks

This paper shows that, contrary to common beliefs, the real options effect of uncertainty plays no role in the long run rate of investment. This is proven for both the standard investment model with Cobb-Douglas production and Brownian motion demand, and also for a broader class of models with...

This paper shows that, contrary to common beliefs, the real options effect of uncertainty plays no role in the long run rate of investment. This is proven for both the standard investment model with Cobb-Douglas production and Brownian motion demand, and also for a broader class of models with...

We derive closed form solutions to the discounted optimal stopping problems related to the pricing of the perpetual American standard put and call options in a diffusion model with piecewise-linear coefficients. The method of proof is based on the reduction of the initial optimal stopping...