A deposit insurance pricing with a multi-state regime-switching volatility
DOI10.1007/S40819-021-01176-2zbMATH Open1499.91176OpenAlexW3217618973MaRDI QIDQ2114499FDOQ2114499
Chairul Imron, Venansius R. Tjahjono, Endah R. M. Putri
Publication date: 15 March 2022
Published in: International Journal of Applied and Computational Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40819-021-01176-2
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Monte Carlo methods (65C05) Actuarial mathematics (91G05) Numerical methods (including Monte Carlo methods) (91G60) Brownian motion (60J65)
Cites Work
- Monte Carlo and quasi-Monte Carlo sampling
- Quasi-Monte Carlo Methods in Numerical Finance
- Dynamics of implied volatility surfaces
- Forecasting Stock Market Volatility with Regime-Switching GARCH Models
- Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
- A new exact solution for pricing European options in a two-state regime-switching economy
- Option pricing in a regime-switching model using the fast Fourier transform
- A numerical analysis of American options with regime switching
- VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY
- A semi-analytic valuation of American options under a two-state regime-switching economy
- Volatility surfaces: theory, rules of thumb, and empirical evidence
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