This paper studies the first passage times to flat boundaries for a double exponential jump diffusion process, which consists of a continuous part driven by a Brownian motion and a jump part with… (More)

We discuss the problem of pricing contingent claims, such as European call-options, based on the fundamental principle of “absence of arbitrage” and in the presence of constraints on portfolio… (More)

A barrier option is a derivative contract that is activated or extinguished when the price of the underlying asset crosses a certain level. Most models assume continuous monitoring of the barrier.… (More)

We obtain a closed-form solution for the double-Laplace transform of Asian options under the hyper-exponential jump diffusion model (HEM). Similar results are only available previously in the special… (More)

In this survey we shall focus on the following issues related to jump-diffusion models for asset pricing in financial engineering. (1) The controversy over tailweight of distributions. (2)… (More)

Discrete barrier and lookback options are among the most popular path-dependent options in markets. However, due to the discrete monitoring policy almost no analytical solutions are available for… (More)

Brownian motion and normal distribution have been widely used, for example, in the Black-Scholes-Merton option pricing framework, to study the return of assets. However, two puzzles, emerged from… (More)

Two coins A and B are tossed N1 and N2 times, respectively. Denote by M1 (M2) the total number of heads (tails) and X the number of heads from coin A. It is well known that conditional on the Mi and… (More)