Option pricing under regime-switching jump-diffusion models

Recommendations

Option pricing under jump-diffusion processes with regime switching
A tree approach to options pricing under regime-switching jump diffusion models
Option Pricing in a Jump-Diffusion Model with Regime Switching
Financial options pricing with regime-switching jump-diffusions
scientific article; zbMATH DE number 7009472

Cited in

(54)

Contingent claims on foreign assets following jump-diffusion processes
Market-making strategy with asymmetric information and regime-switching
Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
Efficient lattice method for valuing of options with barrier in a regime switching model
A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models
Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Option pricing in regime-switching frameworks with the extended Girsanov principle
Efficient hedging currency options in fractional Brownian motion model with jumps
Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model
A spectral element method for option pricing under regime-switching with jumps
A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes
A regime switching fractional Black-Scholes model and European option pricing
What is beneath the surface? Option pricing with multifrequency latent states
Option pricing under regime-switching models: novel approaches removing path-dependence
Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales
Convergence of estimated option price in a regime switching market
Variance swap pricing under Markov-modulated jump-diffusion model
Value functions in a regime switching jump diffusion with delay market model
Lattice-based model for pricing contingent claims under mixed fractional Brownian motion
A tree approach to options pricing under regime-switching jump diffusion models
Saddlepoint approximations to option price in a regime-switching model
Option pricing under jump-diffusion processes with regime switching
scientific article; zbMATH DE number 5631315 (Why is no real title available?)
Option Pricing in a Jump-Diffusion Model with Regime Switching
COS method for option pricing under a regime-switching model with time-changed Lévy processes
scientific article; zbMATH DE number 7009472 (Why is no real title available?)
Option pricing under regime switching
Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients
scientific article; zbMATH DE number 6311401 (Why is no real title available?)
Pricing American options under regime-switching model with a Crank-Nicolson fitted finite volume method
An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models
Pricing formula for exchange option based on stochastic delay differential equation with jumps
A lattice approach for option pricing under a regime-switching GARCH-jump model
Empirical analysis of SH50ETF and SH50ETF option prices under regime-switching jump-diffusion models
A superconvergent partial differential equation approach to price variance swaps under regime switching models
Fitted finite volume method for pricing American options under regime-switching jump-diffusion models based on penalty method
An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models
Mixture dynamics and regime switching diffusions with application to option pricing
Asymptotic expansions of option price under regime-switching diffusions with a fast-varying switching process
A high order finite element scheme for pricing options under regime switching jump diffusion processes
Inference of binary regime models with jump discontinuities
On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models
An analytic valuation method for multivariate contingent claims with regime-switching volatilities
A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump-diffusion models
Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate
Implicit-explicit Runge-Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models
RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
Option pricing and Esscher transform under regime switching
A refracted process in options: a credit valuation application
Risk management of guaranteed minimum benefits under a regime-switching jump-diffusion model
Perpetual American options in a jump-diffusion model with random inspection
Option pricing for pure jump processes with Markov switching compensators
Pricing exotic options under a high-order Markovian regime switching model

This page was built for publication: Option pricing under regime-switching jump-diffusion models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2348967)