This article investigates the valuation of currency options when the dynamic of the spot Foreign Exchange (FX) rate is governed by a two-factor Markov-modulated stochastic volatility model, with the first stochastic volatility component driven by a lognormal diffusion process and the second...

In this paper, we develop an option valuation model when the price dynamics of the underlying risky asset is governed by the exponential of a pure jump process specified by a shifted kernel-biased completely random measure. The class of kernel-biased completely random measures is a rich class of...

The Esscher transform is an important tool in actuarial science. Since the pioneering work of Gerber and Shiu (1994), the use of the Esscher transform for option valuation has also been investigated extensively. However, the relationships between the asset pricing model based on the Esscher...

In this paper, we consider a game theoretic approach to option valuation under Markovian regime-switching models, namely, a Markovian regime-switching geometric Brownian motion (GBM) and a Markovian regime-switching jump-diffusion model. In particular, we consider a stochastic differential game...

We introduce a novel approach to optimal investment-reinsurance problems of an insurance company facing model uncertainty via a game theoretic approach. The insurance company invests in a capital market index whose dynamics follow a geometric Brownian motion. The risk process of the company is...

The optimal dividend problem is a classic problem in corporate finance though an early contribution to this problem can be traced back to the seminal work of an actuary, Bruno De Finetti, in the late 1950s. Nowadays, there is a leap of literature on the optimal dividend problem. However, most of...

We develop a flexible model to value longevity bonds which incorporates several important sources of risk, namely, interest rate risk, mortality risk and the risk due to structural changes in economic and environmental conditions. In particular, Markov, regime-switching, jump-diffusion models...

We propose a model for the valuation of participating life insurance products under a generalized jump–diffusion model with a Markov-switching compensator. The Esscher transform is employed to determine an equivalent martingale measure in the incomplete market. The results are further...