In this paper, an additional factor is introduced into the Heston–Hull–White (HHW) hybrid
model, which originally combines the Heston stochastic volatility model and the Hull–White …

Given the competitiveness of a market-making environment, the ability to speedily quote
option prices consistent with an ever-changing market environment is essential. Thus, the …

Incorporating stochastic volatility and long memory into geometric Brownian motion model to
forecast performance of Standard and Page 1 AIMS Mathematics, 8(8): 18581–18595. DOI …

This paper considers the valuation of a vulnerable option when underlying stock is subject to
liquidity risks. That is, it is assumed that the underlying stock is not perfectly liquid. We …

Developed as a refinement of stochastic volatility (SV) models, the stochastic volatility in
mean (SVM) model incorporates the latent volatility as an explanatory variable in both the …

This paper investigates the pricing of exchange options under hybrid models integrating
stochastic volatility and stochastic interest rates. It aims to achieve two primary objectives …

This paper investigates the pricing problem of quanto options with market liquidity risk using
the Bayesian method. The increasing volatility of global financial markets has made liquidity …

In this paper, we consider vulnerable spread options with stochastic liquidity risk. Lévy
processes are introduced to characterize jumps and we allow the liquidity discount factor to …

This article focuses on the pricing problem of foreign equity options under a Markovian
regime-switching model with liquidity risk and default risk. Some basic parameters of foreign …

This work explores a finite liquidity model to price spread options and assess the liquidity
impact. We employ Kirk approximation for computing the spread option price and its delta …