AMERICAN OPTIONS WITH REGIME SWITCHING
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(only showing first 100 items - show all)- Option pricing when the regime-switching risk is priced
- Asymptotic analysis of option pricing in a Markov modulated market
- Constrained stochastic estimation algorithms for a class of hybrid stock market models
- A path-independent method for barrier option pricing in hidden Markov models
- Pricing exotic options in a regime switching economy: a Fourier transform method
- Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching
- How should a local regime-switching model be calibrated?
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
- Efficient lattice method for valuing of options with barrier in a regime switching model
- Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities
- Valuation and hedging strategy of currency options under regime-switching jump-diffusion model
- Real options approach for fashionable and perishable products using stock loan with regime switching
- A recursive algorithm for selling at the ultimate maximum in regime-switching models
- Hybrid Laplace transform and finite difference methods for pricing American options under complex models
- Pricing convertible bonds with credit risk under regime switching and numerical solutions
- Power penalty approach to American options pricing under regime switching
- Optimal dividend distribution under Markov regime switching
- Asymptotic expansions of transition densities for hybrid jump-diffusions
- A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes
- A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
- Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model
- A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models
- A local radial basis function method for pricing options under the regime switching model
- A new efficient numerical method for solving American option under regime switching model
- Asset pricing using trading volumes in a hidden regime-switching environment
- Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach
- Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
- An explicit analytic formula for pricing barrier options with regime switching
- Option pricing in regime-switching frameworks with the extended Girsanov principle
- Penalty method for indifference pricing of American option in a liquidity switching market
- Computation of powered option prices under a general model for underlying asset dynamics
- Pricing some life-contingent lookback options under regime-switching Lévy models
- An exact and explicit formula for pricing lookback options with regime switching
- Valuation of a DB underpin hybrid pension under a regime-switching Lévy model
- Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
- Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
- Hybrid optimal impulse control
- Convertible bond valuation with regime switching
- A semi-analytic valuation of American options under a two-state regime-switching economy
- Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model
- Stable reconstruction of the volatility in a regime-switching local-volatility model
- A regime switching fractional Black-Scholes model and European option pricing
- A general stochastic maximum principle for mean-field controls with regime switching
- Optimal selling strategies under regime-switching market environment with finite expiry
- Modelling of limit order books by general compound Hawkes processes with implementations
- Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model
- Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level
- First-passage times of regime switching models
- Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest
- Regime-switching shot-noise processes and longevity bond pricing
- A contagion model with Markov regime-switching intensities
- Commuting birth-and-death processes
- A regime switching model for temperature modeling and applications to weather derivatives pricing
- Convergence rates of trinomial tree methods for option pricing under regime-switching models
- Pricing annuity guarantees under a double regime-switching model
- On pricing barrier options with regime switching
- Investment and consumption in regime-switching models with proportional transaction costs and log utility
- Stochastic differential equations with multi-Markovian switching
- Asymptotic properties of jump-diffusion processes with state-dependent switching
- Pricing credit derivatives under a correlated regime-switching hazard processes model
- Laplace transform methods for a free boundary problem of time-fractional partial differential equation system
- Time-inconsistent optimal control problems with regime-switching
- Option pricing under regime-switching models: novel approaches removing path-dependence
- Multidimensional Lee-Carter model with switching mortality processes
- Optimal insurance in a changing economy
- Constant proportion portfolio insurance under a regime switching exponential Lévy process
- Unilateral counterparty risk valuation of CDS using a regime-switching intensity model
- On a reduced form credit risk model with common shock and regime switching
- A lattice method for option pricing with two underlying assets in the regime-switching model
- Exit problems in regime-switching models
- On the stability of jump-diffusions with Markovian switching
- Jump telegraph processes and financial markets with memory
- Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model
- Optimal hedging when the underlying asset follows a regime-switching Markov process
- Pricing currency options under two-factor Markov-modulated stochastic volatility models
- Risk measures for derivatives with Markov-modulated pure jump processes
- Option pricing with regime switching by trinomial tree method
- Variance swap pricing under Markov-modulated jump-diffusion model
- On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model
- A Markov copula model with regime switching and its application
- Optimal control of uncertain stochastic systems with Markovian switching and its applications to portfolio decisions
- Pricing American options under multi-state regime switching with an efficient \(L\)-stable method
- A tree approach to options pricing under regime-switching jump diffusion models
- A system of non-local parabolic PDE and application to option pricing
- A regime-switching model with jumps and its application to bond pricing and insurance
- Real options with priced regime-switching risk
- A risk-based approach for pricing American options under a generalized Markov regime-switching model
- A finite-horizon optimal investment and consumption problem using regime-switching models
- Prepayment option of a perpetual corporate loan: the impact of the funding costs
- A multivariate regime-switching mean reverting process and its application to the valuation of credit risk
- Valuing clustering in catastrophe derivatives
- Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model
- Option valuation with a discrete-time double Markovian regime-switching model
- A reduced-form model for correlated defaults with regime-switching shot noise intensities
- Portfolio optimization in a regime-switching market with derivatives
- Impulse control of pension fund contributions, in a regime switching economy
- Risk-minimizing pricing and hedging foreign currency options under regime-switching jump-diffusion models
- Selling at the ultimate maximum in a regime-switching model
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