Book of Donmon Teith

To bridge the gap between the output of theoretical option pricing models and observed option prices on exchanges, it is necessary to price the volatility risk

Both deterministic and stochastic volatility models have been used to price and hedge options. Observation of real market data suggests that volatility, while s

Practical option strategies for the new post-crisis financial market Traditional buy-and-hold investing has been seriously challenged in the wake of the recent

In this paper we use a regime-switching process to model the unobserved volatility of the underlying asset and derive a closed-form, risk-neutral option pricing

This book is the second of two volumes on random motions in Markov and semi-Markov random environments. This second volume focuses on high-dimensional random mo