OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING

DOI10.1142/S0219024906003846MaRDI QIDQ5487827zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Tak Kuen Siu, Leunglung Chan

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

analytical option valuationMarkov switching conditional Esscher transformMarkov switching Heston-Nandi's GARCH modelrecursive formula

Mathematics Subject Classification ID

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

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Cites work

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Cited in

(19)

• Bayesian option pricing using mixed normal heteroskedasticity models
• Lévy process-driven asymmetric heteroscedastic option pricing model and empirical analysis
• Option pricing with conditional GARCH models
• Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model
• Stochastic volatility models with application in option pricing
• Option pricing under threshold autoregressive models by threshold Esscher transform
• Learning for infinitely divisible GARCH models in option pricing
• Option Pricing Under GARCH Processes Using PDE Methods
• scientific article; zbMATH DE number 5631233 (Why is no real title available?)
• 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 with threshold diffusion processes
• scientific article; zbMATH DE number 2243787 (Why is no real title available?)
• Empirical study of Nikkei 225 options with the Markov switching GARCH model
• Esscher transforms and consumption-based models
• Finite mixture models for option pricing: an application to Bitcoin options
• Pricing bivariate option under GARCH processes with time-varying copula
• On option pricing under a completely random measure via a generalized Esscher transform
• Optimal portfolios with regime switching and value-at-risk constraint

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