Asset Prices With Regime-Switching Variance Gamma Dynamics

DOI10.1016/S1570-8659(08)00018-5MaRDI QIDQ3631201zbMATH OpenFDO

Authors A. Royal, Robert J. Elliott

Publication date 5 June 2009

Published in Special Volume: Mathematical Modeling and Numerical Methods in Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S1570-8659(08)00018-5

zbMATH Keywords

asset pricinggamma processLévy processMarkov chainVG process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70) Financial applications of other theories (91G80)

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Cited in

(11)

• Option pricing using variance gamma Markov chains
• Markov regime switching of stochastic volatility Lévy model on approximation mode
• Asset pricing using trading volumes in a hidden regime-switching environment
• Kac-Lévy processes
• Lower and upper pricing of financial assets
• Statistical method to estimate a regime-switching Lévy model
• An asset pricing model with mean reversion and regime switching stochastic volatility
• Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model
• A PDE approach for risk measures for derivatives with regime switching
• Pricing participating products under a generalized jump-diffusion model
• Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows

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