We perform a thorough investigation on the analytical solvability of general stochastic volatility (SV) models with Levy jumps and propose a unified, accurate, and efficient almost exact simulation method to price various financial derivatives. Our theoretical results lay a foundation for a...

Timer options are barrier style options in the volatility space. A typical timer option is similar to its European vanilla counterpart, except with uncertain expiration date. The finite-maturity timer option expires either when the accumulated realized variance of the underlying asset has...

We derive efficient and accurate analytical pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes. By extending the conditioning variable approach, we derive the lower bound on the Asian option price and construct an upper bound based on the...

We consider pricing Guaranteed Lifelong Withdrawal Benefit (GLWB) that consists of the early phase of accumulation of benefit base and the later income phase of annuities. The most recent form of the GLWB provides flexibility in allowing additional purchases in the accumulation phase, dynamic...

We construct efficient and accurate numerical algorithms for pricing discretely monitored barrier and Bermudan style options under time-changed Levy processes by applying the fast Hilbert transform method to the log-asset return dimension and quadrature rule to the dimension of log-activity rate...