Simple analytical solutions for the prices of discretely monitored barrier options do not yet exist in the literature. This paper presents a semi-analytical and fully explicit solution for pricing discretely monitored barrier options when the underlying asset is driven by a general Lévy...

As it is well-known, the centrepiece of model calibration is regularization which plays an important role in transforming an ill-posed calibration problem into a stable and well-formulated one. Empirically, this realm of research has not been explored in much details in the literature. The goal...

Short sell bans are often imposed during a financial crisis as a desperate measure to stabilize financial markets. Yet, the impact of short sell bans on option pricing and hedging is not well quantitatively studied until very recently when Guo and Zhu (2017) and He and Zhu (2018) formulated a...

Warrants on China's A-share market exhibited prolonged abnormal patterns by trading significantly below their intrinsic values. One might simply deem this phenomenon as uninteresting by pointing out that the A-share market is incomplete, for short selling of stocks is prohibited. This reasoning...