We propose a unified transform-based method, which we call the extended double spiral (EDS) method, for pricing arithmetic Asian options under general two-dimensional (2D) models that nest regime-switching Levy models, stochastic volatility (SV) models with Levy jumps, and time-changed Levy...

This paper examines the risk cascade in high-order moments between investors and traders operating at different investment horizons in the cryptocurrency market. After constructing realized skewness and kurtosis on five major cryptocurrencies (BTC, ETH, XRP, LTC, and XLM) based on...

We propose an efficient computational method based on continuous-time Markov chain (CTMC) approximation to compute the distributions of the speed and duration of drawdown for general one-dimensional (1D) time-homogeneous Markov processes. We derive linear systems for the Laplace transforms of...