Markov-modulated jump-diffusions for currency option pricing

DOI10.1016/J.INSMATHECO.2010.01.003MaRDI QIDQ659253zbMATH OpenOpenAlexFDO

Authors Xuewei Yang, Lijun Bo, Yongjin Wang

Publication date 10 February 2012

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2010.01.003

zbMATH Keywords

Esscher transformcurrency optionrare eventspot foreign exchange ratetime-inhomogeneity

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A stochastic calculus model of continuous trading: Complete markets
• A theory of the term structure of interest rates
• Actuarial bridges to dynamic hedging and option pricing
• Equity with Markov-modulated dividends
• Jump-diffusion processes in the foreign exchange markets and the release of macroeconomic news
• Martingales and stochastic integrals in the theory of continuous trading
• On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
• Option Pricing With Markov-Modulated Dynamics
• Option pricing and Esscher transform under regime switching
• Option pricing for pure jump processes with Markov switching compensators
• Option pricing when underlying stock returns are discontinuous
• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
• Pricing currency options under two-factor Markov-modulated stochastic volatility models

Cited in

(30)

• Exchange option pricing in jump-diffusion models based on Esscher transform
• scientific article; zbMATH DE number 7594618 (Why is no real title available?)
• Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options
• Pension risk management with funding and buyout options
• Currency option pricing with Wishart process
• Structural pricing of CoCos and deposit insurance with regime switching and jumps
• Quanto option pricing with a jump diffusion process
• Valuation and hedging strategy of currency options under regime-switching jump-diffusion model
• Pricing vulnerable options with market prices of common jump risks under regime-switching models
• Pricing currency derivatives with Markov-modulated Lévy dynamics
• Optimal investment of variance-swaps in jump-diffusion market with regime-switching
• Rare shock, two-factor stochastic volatility and currency option pricing
• Pricing options with credit risk in Markovian regime-switching markets
• Multivariate European option pricing in a Markov-modulated Lévy framework
• Empirical analysis of SH50ETF and SH50ETF option prices under regime-switching jump-diffusion models
• Risk-minimizing pricing and hedging foreign currency options under regime-switching jump-diffusion models
• Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model
• On stability of the Markov-modulated skew CIR process
• Variance swap pricing under Markov-modulated jump-diffusion model
• Option pricing with exchange rate risk under regime-switching multi-scale jump-diffusion models
• Option pricing in a regime switching stochastic volatility model
• Inference of binary regime models with jump discontinuities
• Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion
• Stochastic differential equations with diffusion and jumps modeling currency markets
• Pricing currency options under two-factor Markov-modulated stochastic volatility models
• Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps
• THE DYNAMIC PRICING FOR CALLABLE SECURITIES WITH MARKOV-MODULATED PRICES
• Exponential change of measure applied to term structures of interest rates and exchange rates
• Empirical study on option pricing under Markov regime switching economics
• Option pricing under a Markov-modulated Merton jump-diffusion dividend

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