OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING

DOI10.1142/S0219024906003846zbMath1138.91437OpenAlexW2067961894MaRDI QIDQ5487827

Leunglung Chan, Tak Kuen Siu, Robert J. Elliott

Publication date: 12 September 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024906003846

zbMATH Keywords

recursive formulaanalytical option valuationMarkov switching conditional Esscher transformMarkov switching Heston-Nandi's GARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (12)

Bayesian option pricing using mixed normal heteroskedasticity models ⋮ Pricing double-barrier option with processes depending on various states of the economy ⋮ A lattice approach for option pricing under a regime-switching GARCH-jump model ⋮ Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model ⋮ Empirical study of Nikkei 225 options with the Markov switching GARCH model ⋮ Option Pricing with Threshold Diffusion Processes ⋮ Lévy process-driven asymmetric heteroscedastic option pricing model and empirical analysis ⋮ Esscher transforms and consumption-based models ⋮ On option pricing under a completely random measure via a generalized Esscher transform ⋮ Optimal portfolios with regime switching and value-at-risk constraint ⋮ Option pricing with conditional GARCH models ⋮ Stochastic volatility models with application in option pricing

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Option pricing and Esscher transform under regime switching
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• ARCH modeling in finance. A review of the theory and empirical evidence
• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• A general version of the fundamental theorem of asset pricing
• Autoregressive conditional heteroskedasticity and changes in regime
• The cumulant process and Esscher's change of measure
• Generalized autoregressive conditional heteroscedasticity
• A stochastic calculus model of continuous trading: Complete markets
• On the fundamental theorem of asset pricing with an infinite state space
• A Theory of the Term Structure of Interest Rates
• AMERICAN OPTIONS WITH REGIME SWITCHING
• THE GARCH OPTION PRICING MODEL
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Option pricing: A simplified approach
• Bayesian Risk Measures for Derivatives via Random Esscher Transform
• State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates

This page was built for publication: OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING