This paper develops a general pricing method for multi-asset cross currency options, whose underlying asset consists of multiple different assets, and the evaluation currency is different from the ones used in the most liquid market of each asset; the examples include cross currency options,...

This paper develops a general pricing method for multi-asset cross currency options, whose underlying asset consists of multiple different assets, and the evaluation currency is different from the ones used in the most liquid market of each asset; the examples include cross currency options,...

This paper presents a new approximation formula for pricing swaptions and caps/floors under the LIBOR market model of interest rates (LMM) with the local and affine-type stochastic volatility. In particular, two approximation methods are applied in pricing, one of which is so called...

This paper presents a new approximation formula for pricing swaptions and caps/floors under the LIBOR market model of interest rates (LMM) with the local and affine-type stochastic volatility. In particular, two approximation methods are applied in pricing, one of which is so called...

This paper proposes a new three-factor model with stochastic mean reversions for commodity prices and derives the closed-form solution for the term structure of futures prices. It also examines the relation of our model with Schwartz(1997) type models that explicitly include interest rates and...

This paper demonstrates the pricing and hedging efficiency of a three-factor stochastic mean reversion Gaussian model of commodity prices using oil and copper futures and forward contracts. The model is estimated using NYMEX WTI (light sweet crude oil) and LME Copper futures prices and is shown...

This paper develops a new approximation formula for pricing basket options in a local-stochastic volatility model with jumps. In particular, the model admits local volatility functions and jump components in not only the underlying asset price processes, but also the volatility processes. To the...

This paper develops a new approximation formula for pricing basket options in a local-stochastic volatility model with jumps. In particular, the model admits local volatility functions and jump components in not only the underlying asset price processes, but also the volatility processes. To the...