Option pricing using a regime switching stochastic discount factor

DOI10.1142/S0219024914500204MaRDI QIDQ5420701zbMATH OpenFDO

Authors Robert J. Elliott, Ahmed S. Hamada

Publication date 13 June 2014

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024914500204

zbMATH Keywords

continuous time Markov chainoption pricingregime switchingstochastic discount factor

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Continuous-time Markov processes on discrete state spaces (60J27) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A Markov regime-switching marked point process for short-rate analysis with credit risk
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A PDE approach for risk measures for derivatives with regime switching
• A stochastic calculus model of continuous trading: Complete markets
• Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
• Econometric specification of stochastic discount factor models
• Equity with Markov-modulated dividends
• Fourier inversion formulas in option pricing and insurance
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Option pricing for pure jump processes with Markov switching compensators
• Pricing and semimartingale representations of vulnerable contingent claims in regime-switching markets
• Robust optimal portfolio choice under Markovian regime-switching model
• The pricing of options and corporate liabilities

Cited in

(9)

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• A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching
• On a parabolic partial differential equation and system modeling a production planning problem
• Continuous-time Markov chain and regime switching approximations with applications to options pricing
• A moment approach to bounding exotic options under regime switching
• scientific article; zbMATH DE number 6311401 (Why is no real title available?)
• An FFT approach for option pricing under a regime-switching stochastic interest rate model
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