In answer to the intense development of new financial products and the increasing
complexity of portfolio management theory, Portfolio Optimization and Performance Analysis …

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In this paper, we give an explicit representation of the lowest cost strategy to achieve a given
payoff distribution (that we call “cost-efficient” strategy). For any inefficient strategy, we are …

Power option is such an option whose payoff is based on the price of the underlying asset
raised to some power. Unlike Black–Scholes setting, we investigate the valuation of power …

We propose a highly efficient and accurate valuation method for exotic-style options based
on the novel Shannon wavelet inverse Fourier technique (SWIFT). Specifically, we derive an …

This paper proposes a novel analytical pricing–hedging framework for volatility derivatives
which simultaneously takes into account rough volatility and volatility jumps. Directly …

We derive semi-analytic solutions for power option prices under the Heston model;
specifically, the pricing formula is shown to be valid whenever the power of the underlying …

In this paper, we present numerical methods to determine the optimal exercise boundary in
case of an American power put option with non-dividend yields. The payoff of a power option …

In this paper, within the framework of uncertainty theory, the valuation of stock loan is
investigated. Different from the methods of probability theory, we solve the stock loan pricing …

The exotic options with curved nonlinear payoffs have been traded in financial markets,
which offer great flexibility to participants in the market. Among them, power options with the …