A semi-analytic valuation of American options under a two-state regime-switching economy
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Publication:2164646
Cites work
- scientific article; zbMATH DE number 2015362 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- scientific article; zbMATH DE number 5172394 (Why is no real title available?)
- A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
- A Regime-Switching Model of Long-Term Stock Returns
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A front-fixing finite element method for the valuation of American options with regime switching
- A new analytical approximation for European puts with stochastic volatility
- A new approach for option pricing under stochastic volatility
- A new exact solution for pricing European options in a two-state regime-switching economy
- A numerical analysis of American options with regime switching
- AMERICAN OPTIONS WITH REGIME SWITCHING
- American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options
- Explicit solutions to European options in a regime-switching economy
- Methods for pricing American options under regime switching
- NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
- Option pricing with regime switching by trinomial tree method
- Pricing and hedging derivative securities in markets with uncertain volatilities
- Pricing exotic options under regime switching
- STOCHASTIC VOLATILITY
- Static versus dynamic hedges: an empirical comparison for barrier options
- Stock price distributions with stochastic volatility: an analytic approach
- Using Laplace transform to price American puts
Cited in
(6)- A new approach for pricing discounted American options
- Perpetual cancellable American options with convertible features
- A deposit insurance pricing with a multi-state regime-switching volatility
- CTMC integral equation method for American options under stochastic local volatility models
- Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility
- Finite maturity American-style stock loans with regime-switching volatility
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