Option pricing based on a regime switching dividend process (Q5078079): Difference between revisions

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+https://doi.org/10.1080/03610926.2019.1625920
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+W2954048307
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@@ Property / cites work @@
+AMERICAN OPTIONS WITH REGIME SWITCHING
@@ Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank @@
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+Option pricing and Esscher transform under regime switching
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+Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
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+Ergodic Control of Switching Diffusions
@@ Property / cites work: Ergodic Control of Switching Diffusions / rank @@
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+A summary on pricing American call options under the assumption of a lognormal framework in the Korn-Rogers model
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+A Markov-modulated model for stocks paying discrete dividends
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+Pricing currency options under two-factor Markov-modulated stochastic volatility models
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+Q4693053
@@ Property / cites work: Q4693053 / rank @@
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+Pricing Equity-indexed Annuities When Discrete Dividends Follow a Markov-Modulated Jump Diffusion Model
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