Purpose – Option pricing based on Black‐Scholes model is typically obtained under the assumption that the volatility of the return is a constant. The purpose of this paper is to develop a new method for pricing derivatives under the jump diffusion model with random volatility by viewing the...

A bullwhip measure for a two-stage supply chain with an order-up-to inventory policy is derived for a general, stationary SARMA(p, q) × (P, Q)s demand process. Explicit expressions for several SARMA models are obtained to illustrate the key relationship between lead-time and seasonal lag. It is...

Purpose – Option pricing based on Black-Scholes model is typically obtained under the assumption that the volatility of the return is a constant. The purpose of this paper is to develop a new method for pricing derivatives under the jump diffusion model with random volatility by viewing the...

Purpose – To study stochastic volatility in the pricing of options. Design/methodology/approach – Random-coefficient autoregressive and generalized autoregressive conditional heteroscedastic models are studied. The option-pricing formula is viewed as a moment of a truncated normal...

Purpose – The purpose of this research is to introduce a class of FRC (fuzzy random coefficient) volatility models and to study their moment properties. Fuzzy option values and the superiority of fuzzy forecasts over minimum mean-square forecasts are also discussed in some detail....