Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance (Q4555162): Difference between revisions

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scientific article; zbMATH DE number 6981275

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English	Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance	scientific article; zbMATH DE number 6981275

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scholarly article

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title

Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance (English)

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19 November 2018

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zbMATH Keywords

regime switching model

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generalized hyperbolic process

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VaR

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CTE

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equity-linked insurance

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/14697688.2017.1288297

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cites work

A two-state jump model

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Coherent Measures of Risk

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Q4167332

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The Pricing of Options and Corporate Liabilities

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Pricing exotic options under regime switching

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AMERICAN OPTIONS WITH REGIME SWITCHING

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Conditional tail expectations for multivariate phase-type distributions

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Option pricing for GARCH-type models with generalized hyperbolic innovations

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A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

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Financial Modelling with Jump Processes

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Numerical inversion of a characteristic function

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THE GARCH OPTION PRICING MODEL

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APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING

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Hyperbolic distributions in finance

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Option pricing and Esscher transform under regime switching

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Option pricing for pure jump processes with Markov switching compensators

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Risk capital decomposition for a multivariate dependent gamma portfolio

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An explicit solution to an optimal stopping problem 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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Q4840212

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Autoregressive conditional heteroskedasticity and changes in regime

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A Regime-Switching Model of Long-Term Stock Returns

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Martingales and arbitrage in multiperiod securities markets

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Martingales and stochastic integrals in the theory of continuous trading

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A stochastic calculus model of continuous trading: Complete markets

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Q3071115

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Q3003679

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Q4380355

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Option pricing using variance gamma Markov chains

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A Jump-Diffusion Model for Option Pricing

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Tail Conditional Expectations for Elliptical Distributions

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Tail Conditional Expectations for Exponential Dispersion Models

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Pricing Annuity Guarantees Under a Regime-Switching Model

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Option pricing in a regime-switching model using the fast Fourier transform

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Option pricing when underlying stock returns are discontinuous

0 references

The normal inverse gaussian lévy process: simulation and approximation

0 references

Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension

0 references

Stochastic calculus for finance. II: Continuous-time models.

0 references

Fair valuation of participating policies with surrender options and regime switching

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Pricing participating products under a generalized jump-diffusion model

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CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM

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Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method

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Identifiers

zbMATH Open document ID

1402.91820

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DOI

10.1080/14697688.2017.1288297

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4555162

@@ Property / cites work @@
+A two-state jump model
@@ Property / cites work: A two-state jump model / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Q4167332
@@ Property / cites work: Q4167332 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing exotic options under regime switching
@@ Property / cites work: Pricing exotic options under regime switching / rank @@
+Normal rank
@@ Property / cites work @@
+AMERICAN OPTIONS WITH REGIME SWITCHING
@@ Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank @@
+Normal rank
@@ Property / cites work @@
+Conditional tail expectations for multivariate phase-type distributions
+Normal rank
@@ Property / cites work @@
+Option pricing for GARCH-type models with generalized hyperbolic innovations
+Normal rank
@@ Property / cites work @@
+A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical inversion of a characteristic function
@@ Property / cites work: Numerical inversion of a characteristic function / rank @@
+Normal rank
@@ Property / cites work @@
+THE GARCH OPTION PRICING MODEL
@@ Property / cites work: THE GARCH OPTION PRICING MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING
+Normal rank
@@ Property / cites work @@
+Hyperbolic distributions in finance
@@ Property / cites work: Hyperbolic distributions in finance / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing and Esscher transform under regime switching
+Normal rank
@@ Property / cites work @@
+Option pricing for pure jump processes with Markov switching compensators
+Normal rank
@@ Property / cites work @@
+Risk capital decomposition for a multivariate dependent gamma portfolio
+Normal rank
@@ Property / cites work @@
+An explicit solution to an optimal stopping problem with regime switching
+Normal rank
@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+Normal rank
@@ Property / cites work @@
+Q4840212
@@ Property / cites work: Q4840212 / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive conditional heteroskedasticity and changes in regime
+Normal rank
@@ Property / cites work @@
+A Regime-Switching Model of Long-Term Stock Returns
+Normal rank
@@ Property / cites work @@
+Martingales and arbitrage in multiperiod securities markets
+Normal rank
@@ Property / cites work @@
+Martingales and stochastic integrals in the theory of continuous trading
+Normal rank
@@ Property / cites work @@
+A stochastic calculus model of continuous trading: Complete markets
+Normal rank
@@ Property / cites work @@
+Q3071115
@@ Property / cites work: Q3071115 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3003679
@@ Property / cites work: Q3003679 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4380355
@@ Property / cites work: Q4380355 / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing using variance gamma Markov chains
@@ Property / cites work: Option pricing using variance gamma Markov chains / rank @@
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Tail Conditional Expectations for Elliptical Distributions
+Normal rank
@@ Property / cites work @@
+Tail Conditional Expectations for Exponential Dispersion Models
+Normal rank
@@ Property / cites work @@
+Pricing Annuity Guarantees Under a Regime-Switching Model
+Normal rank
@@ Property / cites work @@
+Option pricing in a regime-switching model using the fast Fourier transform
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+The normal inverse gaussian lévy process: simulation and approximation
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for finance. II: Continuous-time models.
+Normal rank
@@ Property / cites work @@
+Fair valuation of participating policies with surrender options and regime switching
+Normal rank
@@ Property / cites work @@
+Pricing participating products under a generalized jump-diffusion model
+Normal rank
@@ Property / cites work @@
+CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM
+Normal rank
@@ Property / cites work @@
+Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method
+Normal rank