Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model

DOI10.1080/03610920903268873zbMath1202.91328MaRDI QIDQ3064081

Wei Wang, Wen Sheng Wang

Publication date: 20 December 2010

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920903268873

zbMATH Keywords

option pricing; regime switching; Esscher transform; vulnerable option

Mathematics Subject Classification ID

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

Related Items

Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion, Option pricing in a regime switching stochastic volatility model, Pricing warrant bonds with credit risk under a jump diffusion process, Pricing vulnerable options with market prices of common jump risks under regime-switching models, Pricing vulnerable option under jump-diffusion model with incomplete information, The European vulnerable option pricing with jumps based on a mixed model

Cites Work

• Option pricing and Esscher transform under regime switching
• Martingales and stochastic integrals in the theory of continuous trading
• A general version of the fundamental theorem of asset pricing
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• AMERICAN OPTIONS WITH REGIME SWITCHING
• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
• On Esscher Transforms in Discrete Finance Models
• Option pricing when underlying stock returns are discontinuous