Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model

DOI10.3934/fmf.2021005zbMath1498.91438arXiv2006.15054OpenAlexW3188750993MaRDI QIDQ2170294

Michael C. Fu, Bingqing Li, Tianqi Zhang, Rongwen Wu

Publication date: 30 August 2022

Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.15054

zbMATH Keywords

stochastic volatilityoption pricingMarkov switchingaverage integrated varianceco-jump

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Pricing double-barrier option with processes depending on various states of the economy

Uses Software

• MS_Regress
• RiskMetrics

Cites Work

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