A deposit insurance pricing with a multi-state regime-switching volatility

DOI10.1007/S40819-021-01176-2MaRDI QIDQ2114499zbMATH OpenOpenAlexFDO

Authors Endah R. M. Putri, Venansius R. Tjahjono, Chairul Imron

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

zbMATH Keywords

quasi-Monte CarloBlack-Scholesdeposit insurancegeometric Brownian motion

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Actuarial mathematics (91G05) Numerical methods (including Monte Carlo methods) (91G60) Brownian motion (60J65)

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Cites work

• A new exact solution for pricing European options in a two-state regime-switching economy
• A numerical analysis of American options with regime switching
• A semi-analytic valuation of American options under a two-state regime-switching economy
• Dynamics of implied volatility surfaces
• Forecasting Stock Market Volatility with Regime-Switching GARCH Models
• Monte Carlo and quasi-Monte Carlo sampling
• Option pricing in a regime-switching model using the fast Fourier transform
• Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
• Quasi-Monte Carlo Methods in Numerical Finance
• VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY
• Volatility surfaces: theory, rules of thumb, and empirical evidence

Cited in

(4)

• Study on the deposit insurance pricing of the income tax on the excess of the income tax
• Interval pricing study of deposit insurance in China
• Pricing of deposit insurance considering capital forbearance and jump risk
• An optimal investment strategy and multiperiod deposit insurance pricing model for commercial banks

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