Option Pricing in a Jump-Diffusion Model with Regime Switching (Q3653509): Difference between revisions

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+MaRDI publication profile
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+Multinomial Approximating Models for Options with k State Variables
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+Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
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+Option pricing and Esscher transform under regime switching
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+Option pricing: A simplified approach
@@ Property / cites work: Option pricing: A simplified approach / rank @@
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+AMERICAN OPTIONS WITH REGIME SWITCHING
@@ Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank @@
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+An explicit finite difference approach to the pricing of barrier options
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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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+Lean trees -- a general approach for improving performance of lattice models for option pricing
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+A simple approach for pricing equity options with Markov switching state variables
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+Explicit solutions to European options in a regime-switching economy
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@@ Property / full work available at URL @@
+https://doi.org/10.2143/ast.39.2.2044646
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+W1980768678
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+Normal rank