We propose a novel stochastic modeling framework for coal production and logistics using option pricing theory. The problem of valuing the inherent real optionality a coal producer has when mining and processing thermal coal is modelled as pricing spread options of three assets under the...

The effects of stochastic volatility, jump clustering, and regime switching are considered when pricing variance swaps. This study established a two-stage procedure that simplifies the derivation by first isolating the regime switching from other stochastic sources. Based on this, a novel...

This study presents an analytical exact solution for the price of VIX options under stochastic volatility model with simultaneous jumps in the asset price and volatility processes. We shall demonstrate that our new pricing formula can be used to efficiently compute the numerical values of a VIX...