An analytic valuation method for multivariate contingent claims with regime-switching volatilities

DOI10.1016/J.ORL.2011.02.010zbMath1219.91144OpenAlexW3124489661MaRDI QIDQ635506

Bong-Gyu Jang, Ji Hee Yoon, Kum-Hwan Roh

Publication date: 19 August 2011

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2011.02.010

zbMATH Keywords

stochastic volatilitybusiness cyclederivative pricingmultivariate contingent claimregime switch

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Convertible bond valuation with regime switching ⋮ On moment non-explosions for Wishart-based stochastic volatility models ⋮ Pricing and hedging for correlation options with regime switching and common jump risk ⋮ Spread and basket option pricing in a Markov‐modulated Lévy framework with synchronous jumps ⋮ Multivariate European option pricing in a Markov-modulated Lévy framework ⋮ Hedging of contingent claims written on non traded assets under Markov-modulated models ⋮ Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model

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