A direct solution method for pricing options in regime-switching models

DOI10.1111/MAFI.12220MaRDI QIDQ5109976zbMATH OpenOpenAlexWikidataFDO

Authors Masahiko Egami, Rusudan Kevkhishvili

Publication date 14 May 2020

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1711.08883

zbMATH Keywords

concavitydiffusionMarkov switchingoptimal stoppingperpetual options

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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(7)

• A direct solution method for pricing options involving the maximum process
• Option pricing under regime-switching models: novel approaches removing path-dependence
• A lattice method for option pricing with two underlying assets in the regime-switching model
• Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
• Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
• A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS
• Constrained optimal stopping under a regime-switching model

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