Option Pricing in a Jump-Diffusion Model with Regime Switching

DOI10.2143/AST.39.2.2044646zbMath1180.91298MaRDI QIDQ3653509

Fei Lung Yuen, Hailiang Yang

Publication date: 22 December 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.39.2.2044646

zbMATH Keywords

option pricing; regime switching; jump-diffusion model; trinomial tree method; price of regime switching risk

Mathematics Subject Classification ID

91G80: Financial applications of other theories

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

Related Items

An Exact Formula for Pricing American Exchange Options with Regime Switching, VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK, An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models, A generalized Esscher transform for option valuation with regime switching risk, HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS, Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes, NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS, A high order finite element scheme for pricing options under regime switching jump diffusion processes, A self-exciting threshold jump-diffusion model for option valuation, Option valuation by a self-exciting threshold binomial model, Time-consistent actuarial valuations, Option pricing in a regime switching stochastic volatility model, An optimal stochastic control framework for determining the cost of hedging of variable annuities, Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models, Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models, Pricing annuity guarantees under a double regime-switching model, Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model, A real option approach for investment opportunity valuation, Option pricing under regime-switching models: novel approaches removing path-dependence, Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors, Lattice-based model for pricing contingent claims under mixed fractional Brownian motion, A tree approach to options pricing under regime-switching jump diffusion models, A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk, Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method

Cites Work

• The Pricing of Options and Corporate Liabilities
• Option pricing and Esscher transform under regime switching
• Lean trees -- a general approach for improving performance of lattice models for option pricing
• Explicit solutions to European options in a regime-switching economy
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
• Multinomial Approximating Models for Options with k State Variables
• An explicit finite difference approach to the pricing of barrier options
• Option pricing: A simplified approach
• A simple approach for pricing equity options with Markov switching state variables