Option pricing based on a regime switching dividend process

DOI10.1080/03610926.2019.1625920MaRDI QIDQ5078079zbMATH OpenOpenAlexFDO

Authors Huahui Yan, Qi Hong Chen, Huisheng Shu

Publication date 20 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2019.1625920

zbMATH Keywords

discrete dividendhidden Markov chainjump diffusion modeloption pricingregime switching

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A Markov-modulated model for stocks paying discrete dividends
• A summary on pricing American call options under the assumption of a lognormal framework in the Korn-Rogers model
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Ergodic Control of Switching Diffusions
• scientific article; zbMATH DE number 195091 (Why is no real title available?)
• Option pricing and Esscher transform under regime switching
• Pricing currency options under two-factor Markov-modulated stochastic volatility models
• Pricing Equity-indexed Annuities When Discrete Dividends Follow a Markov-Modulated Jump Diffusion Model
• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model

Cited in

(2)

• scientific article; zbMATH DE number 5308465 (Why is no real title available?)
• Option pricing under a Markov-modulated Merton jump-diffusion dividend

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