Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models

DOI10.1007/s10436-020-00366-0zbMath1461.91315OpenAlexW3033155756MaRDI QIDQ2022921

Yanyan Li

Publication date: 3 May 2021

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-020-00366-0

zbMATH Keywords

stochastic volatilityregime switchingMarkov chainAsian optionsFourierjump diffusionexotic optionCTMC

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (22)

A generalized Esscher transform for option valuation with regime switching risk ⋮ A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions ⋮ A transform-based method for pricing Asian options under general two-dimensional models ⋮ An analysis of dollar cost averaging and market timing investment strategies ⋮ Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models ⋮ Option pricing under a Markov-modulated Merton jump-diffusion dividend ⋮ Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk ⋮ Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees ⋮ Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model ⋮ On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models ⋮ Valuation of variable annuities under stochastic volatility and stochastic jump intensity ⋮ Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps ⋮ On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes ⋮ Equity-linked guaranteed minimum death benefits with dollar cost averaging ⋮ Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model ⋮ A data-driven framework for consistent financial valuation and risk measurement ⋮ Pricing some life-contingent lookback options under regime-switching Lévy models ⋮ Maximum likelihood estimation of diffusions by continuous time Markov chain ⋮ Valuation of a DB underpin hybrid pension under a regime-switching Lévy model ⋮ Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model ⋮ Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation ⋮ Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk

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