Pricing options under two-factor Markov-modulated stochastic volatility models

DOI10.3969/J.ISSN.1001-4268.2014.06.006MaRDI QIDQ5260212zbMATH OpenFDO

Authors Kun Fan

Publication date 29 June 2015

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-4268.2014.06.006

zbMATH Keywords

fast Fourier transformmean-reversionregime-switchingtwo-factor stochastic volatility

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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(8)

• Advanced Monte Carlo pricing of European options in a market model with two stochastic volatilities
• Pricing currency options under two-factor Markov-modulated stochastic volatility models
• Equity with Markov-modulated dividends
• Two-factor Markov-modulated stochastic volatility models for option pricing
• A SIMPLE OPTION PRICING MODEL WITH MARKOVIAN VOLATILITIES
• Two-state volatility transition pricing and hedging of TXO options
• THE DYNAMIC PRICING FOR CALLABLE SECURITIES WITH MARKOV-MODULATED PRICES
• Variance and volatility swaps under a two-factor stochastic volatility model with regime switching

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