Option pricing and Esscher transform under regime switching
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- Exchange option pricing in jump-diffusion models based on Esscher transform
- Pricing exotic options under regime switching
- Option pricing in regime-switching frameworks with the extended Girsanov principle
- Pricing exotic options in a regime switching economy: a Fourier transform method
- Option pricing when the regime-switching risk is priced
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- A Regime-Switching Model of Long-Term Stock Returns
- A stochastic calculus model of continuous trading: Complete markets
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Actuarial bridges to dynamic hedging and option pricing
- An application of hidden Markov models to asset allocation problems
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- Bayesian Risk Measures for Derivatives via Random Esscher Transform
- Connections between entropic and linear projections in asset pricing estimation
- Exponential Hedging and Entropic Penalties
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- Geometric Lévy process \& MEMM pricing model and related estimation problems
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- Quantile hedging
- Robust parameter estimation for asset price models with Markov modulated volatilities
- State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
- The minimal entropy martingale measure and the valuation problem in incomplete markets
- The pricing of options and corporate liabilities
Cited in
(only showing first 100 items - show all)- Option pricing and filtering with hidden Markov-modulated pure-jump processes
- Option pricing under regime-switching models: novel approaches removing path-dependence
- A hidden Markov-modulated jump diffusion model for European option pricing
- An optimal stochastic control framework for determining the cost of hedging of variable annuities
- Option pricing with threshold diffusion processes
- Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
- Real options with priced regime-switching risk
- First-passage times of regime switching models
- Asset pricing using trading volumes in a hidden regime-switching environment
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Greeks formulas for an asset price model with gamma processes
- The valuation of a guaranteed minimum maturity benefit under a regime-switching framework
- Two-factor Markov-modulated stochastic volatility models for option pricing
- Risk measures for derivatives with Markov-modulated pure jump processes
- Pricing vulnerable options with market prices of common jump risks under regime-switching models
- Pricing vulnerable options under a Markov-modulated regime switching model
- Option Pricing in a Jump-Diffusion Model with Regime Switching
- Cliquet-style return guarantees in a regime switching Lévy model
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
- Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market
- Conditional coherent risk measures and regime-switching conic pricing
- On pricing basket credit default swaps
- Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
- Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model
- Dynamic programming for semi-Markov modulated SDEs
- Dynamic programming for a Markov-switching jump-diffusion
- Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality
- The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier
- Pricing exotic options in a regime switching economy: a Fourier transform method
- Pricing currency derivatives with Markov-modulated Lévy dynamics
- Efficiently pricing barrier options in a Markov-switching framework
- A Markov copula model with regime switching and its application
- Risk-minimizing pricing and hedging foreign currency options under regime-switching jump-diffusion models
- A new method for option pricing via time-fractional PDE
- A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
- Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
- Randomization and the valuation of guaranteed minimum death benefits
- How do capital structure and economic regime affect fair prices of bank's equity and liabilities?
- Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching
- Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint
- A stochastic differential game for optimal investment of an insurer with regime switching
- Pricing currency options under two-factor Markov-modulated stochastic volatility models
- A switching self-exciting jump diffusion process for stock prices
- Credit-equity modeling under a latent Lévy firm process
- A high-order Markov-switching model for risk measurement
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- Markov chain approximation and measure change for time-inhomogeneous stochastic processes
- European option pricing with market frictions, regime switches and model uncertainty
- A path-independent method for barrier option pricing in hidden Markov models
- On pricing and hedging options in regime-switching models with feedback effect
- Option pricing in regime-switching frameworks with the extended Girsanov principle
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
- Iterative weak approximation and hard bounds for switching diffusion
- A risk-based approach for pricing American options under a generalized Markov regime-switching model
- PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES
- Pricing CDS index tranches under thinning-dependence structure with regime switching
- Pricing exotic options under a high-order Markovian regime switching model
- Attainable contingent claims in a Markovian regime-switching market
- An exact formula for pricing American exchange options with regime switching
- Risk-minimizing hedging strategy for an equity-indexed annuity under a regime switching model
- Fair valuation of participating policies with surrender options and regime switching
- Option pricing and hedging under a stochastic volatility Lévy process model
- Multivariate European option pricing in a Markov-modulated Lévy framework
- Pricing and hedging for correlation options with regime switching and common jump risk
- Valuing variable annuity guarantees with the multivariate Esscher transform
- Risk seeking, nonconvex remuneration and regime switching
- A reduced-form model for correlated defaults with regime-switching shot noise intensities
- A wavelet collocation method for fractional Black-Scholes equations by subdiffusive model
- Option pricing when the regime-switching risk is priced
- Double barrier option under regime-switching exponential mean-reverting process
- NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
- Perpetual American vanilla option pricing under single regime change risk: an exhaustive study
- Saddlepoint approximations to option price in a regime-switching model
- The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system
- Option pricing under jump-diffusion processes with regime switching
- Mean field control and finite agent approximation for regime-switching jump diffusions
- Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level
- Analytical pricing of vulnerable options under a generalized jump-diffusion model
- Option pricing under a Markov-modulated Merton jump-diffusion dividend
- Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors
- Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
- Local risk-minimization under Markov-modulated exponential Lévy model
- Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
- Hedging options in a doubly Markov-modulated financial market via stochastic flows
- Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion
- On barrier option pricing by Erlangization in a regime-switching model with jumps
- On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model
- The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model
- A lattice method for option pricing with two underlying assets in the regime-switching model
- Stochastic control with inhomogeneous regime switching: application to consumption and investment with unemployment and reemployment
- Novel criteria for exponential stability in mean square of stochastic delay differential equations with Markovian switching
- A PDE approach for risk measures for derivatives with regime switching
- The MEMMs for Markov-modulated GBMs
- Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility
- An efficient algorithm for pricing reinsurance contract under the regime-switching model
- Option pricing with regime switching by trinomial tree method
- Pricing and semimartingale representations of vulnerable contingent claims in regime-switching markets
- Pricing Equity-indexed Annuities When Discrete Dividends Follow a Markov-Modulated Jump Diffusion Model
- Time-consistent mean-variance pairs-trading under regime-switching cointegration
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
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