Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level

DOI10.3934/JIMO.2019072MaRDI QIDQ2244233zbMATH OpenOpenAlexFDO

Authors Chao Xu, Yinghui Dong, Zhao Lu Tian, Guojing Wang

Publication date 12 November 2021

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2019072

zbMATH Keywords

dynamic fund protectionhyper-exponential jump-diffusion processLaplace transformregime-switching

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A jump-diffusion model for option pricing
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• AMERICAN OPTIONS WITH REGIME SWITCHING
• Dynamic Fund Protection
• First passage times of a jump diffusion process
• From ruin theory to pricing reset guarantees and perpetual put options
• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• Information and option pricings
• Lookback options and dynamic fund protection under multiscale stochastic volatility
• Option pricing and Esscher transform under regime switching
• Pricing Discrete Dynamic Fund Protections
• Pricing dynamic fund protections under a stochastic boundary
• Pricing dynamic fund protections with regime switching
• Pricing dynamic guaranteed funds with stochastic barrier under Vasicek interest rate model
• Pricing Dynamic Investment Fund Protection
• Pricing Perpetual Fund Protection with Withdrawal Option
• Pricing the zero-coupon bond and its fair premium under a structural credit risk model with jumps
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• The Time Value of Ruin in a Sparre Andersen Model
• Valuation of discrete dynamic fund protection under Lévy processes
• Valuing equity-linked death benefits in a regime-switching framework

Cited in

(11)

• Pricing dynamic guaranteed funds under the hyper-exponential jump-diffusion model
• scientific article; zbMATH DE number 7234466 (Why is no real title available?)
• scientific article; zbMATH DE number 7234612 (Why is no real title available?)
• Pricing dynamic fund protections under a stochastic boundary
• Pricing dynamic fund protections for a hyperexponential jump diffusion process
• Valuation of discrete dynamic fund protection under Lévy processes
• Assessing the costs of protection in a context of switching stochastic regimes
• Pricing dynamic fund protection under hidden Markov models
• Pricing Dynamic Investment Fund Protection
• On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models
• Pricing dynamic fund protections with regime switching

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