Mixture dynamics and regime switching diffusions with application to option pricing

DOI10.1007/S11009-009-9155-1zbMath1223.60063OpenAlexW2149289963MaRDI QIDQ539521

Alessandro Ramponi

Publication date: 30 May 2011

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2108/14909

zbMATH Keywords

option pricingMonte Carlo simulationregime switching modelsmixture dynamics

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (4)

FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS ⋮ Fluid Analysis of Spatio-Temporal Properties of Agents in a Population Model ⋮ Option pricing under a normal mixture distribution derived from the Markov tree model ⋮ Pricing and hedging performance on pegged FX markets based on a regime switching model

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