FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS (Q3166714): Difference between revisions

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+.4567
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+Pricing of catastrophe insurance options written on a loss index with reestimation
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+American Options in Regime-Switching Models
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+Pricing exotic options under regime switching
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+AMERICAN OPTIONS WITH REGIME SWITCHING
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+Lévy processes driven by stochastic volatility
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+Equity with Markov-modulated dividends
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+Fourier inversion formulas in option pricing and insurance
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+Analysis of Fourier Transform Valuation Formulas and Applications
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+Option pricing for pure jump processes with Markov switching compensators
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+Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
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+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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+Analysis of time series subject to changes in regime
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+The Scaling and Squaring Method for the Matrix Exponential Revisited
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+Variance-optimal hedging for processes with stationary independent increments
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+A Fourier Transform Method for Spread Option Pricing
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+On perpetual American put valuation and first-passage in a regime-switching model with jumps
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+Option Pricing With Markov-Modulated Dynamics
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+NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
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+Option pricing using variance gamma Markov chains
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+On the pricing of forward starting options in Heston's model on stochastic volatility
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+REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING
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+Mixture dynamics and regime switching diffusions with application to option pricing
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+Moments of Markov switching models
@@ Property / cites work: Moments of Markov switching models / rank @@
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+Publication:3166714