This paper considers pricing European options in a large class of one-dimensional Markovian jump processes known as subordinate diffusions, which are obtained by time changing a diffusion process with an independent Levy or additive random clock. These jump processes are non-Levy in general, and...

We propose an efficient method to evaluate callable and putable bonds under a wide class of interest rate models, including the popular short rate diffusion models, as well as their time changed versions with jumps. The method is based on the eigenfunction expansion of the pricing operator....

This paper proposes a novel approach for pricing discretely monitored multi-asset barrier options and computing joint survival probability in multivariate exponential Levy asset price models. We calculate the Fourier transform of appropriately dampened value functions recursively using...

This paper develops an eigenfunction expansion approach to solve discretely monitored first passage time problems for a rich class of Markov processes, including diffusions and subordinate diffusions with jumps, whose transition or Feynman-Kac semigroups possess eigenfunction expansions in L2...