We consider the evaluation of American options on dividend paying stocks in the case where the underlying asset price evolves according to Heston's stochastic volatility model in (Heston, Rev. Financ. Stud. 6:327–343, 1993). We solve the Kolmogorov partial differential equation associated with...

In this paper we consider various computational methods for pricing American style derivatives. We do so under both jump diffusion and stochastic volatility processes. We consider integral transform methods, the method of lines, operator-splitting, and the Crank-Nicolson scheme, the latter being...

In this paper we consider the pricing of an American call option whose underlying asset dynamics evolve under the influence of two independent stochastic volatility processes as proposed in Christoffersen, Heston and Jacobs (2009). We consider the associated partial differential equation (PDE)...

In this paper we consider the pricing of an American call option whose underlying asset dynamics evolve under the influence of two independent stochastic volatility processes of the Heston (1993) type. We derive the associated partial differential equation (PDE) of the option price using hedging...

This paper studies the relationship between credit default swap spreads (CDS) for the Energy sector and oil futures dynamics. Using data on light sweet crude oil futures from 2004 to 2013, which contains a crisis period, we examine the importance of volatility and jumps extracted from the...

In this paper we analyse how the policyholder surrender behaviour is influenced by changes in various sources of risk impacting a variable annuity (VA) contract embedded with a guaranteed minimum maturity benefit rider that can be surrendered anytime prior to maturity. We model the underlying...