Option pricing under regime-switching jump-diffusion models

DOI10.1016/J.CAM.2013.07.046zbMATH Open1314.91206OpenAlexW2080403118MaRDI QIDQ2348967FDOQ2348967

Authors: Massimo Costabile, Arturo Leccadito, Emilio Russo, Ivar Massabò 

Publication date: 16 June 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2013.07.046

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• scientific article; zbMATH DE number 7009472

zbMATH Keywords

option pricingjump-diffusion modelsregime-switching modelsmultinomial tree

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cited In (51)

• Option Pricing in a Jump-Diffusion Model with Regime Switching
• Option pricing under regime switching
• Mixture dynamics and regime switching diffusions with application to option pricing
• Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales
• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
• Implicit-explicit Runge-Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models
• Option pricing in regime-switching frameworks with the extended Girsanov principle
• Option pricing and Esscher transform under regime switching
• Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients
• Pricing exotic options under a high-order Markovian regime switching model
• A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models
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• Option pricing for pure jump processes with Markov switching compensators
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• On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models
• Efficient lattice method for valuing of options with barrier in a regime switching model
• Saddlepoint approximations to option price in a regime-switching model
• What is beneath the surface? Option pricing with multifrequency latent states
• Option pricing under jump-diffusion processes with regime switching
• Asymptotic expansions of option price under regime-switching diffusions with a fast-varying switching process
• A spectral element method for option pricing under regime-switching with jumps
• A lattice approach for option pricing under a regime-switching GARCH-jump model
• RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
• Variance swap pricing under Markov-modulated jump-diffusion model
• Market-making strategy with asymmetric information and regime-switching
• Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model
• An analytic valuation method for multivariate contingent claims with regime-switching volatilities
• Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
• Efficient hedging currency options in fractional Brownian motion model with jumps
• Value functions in a regime switching jump diffusion with delay market model
• A regime switching fractional Black-Scholes model and European option pricing
• Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
• Pricing American options under regime-switching model with a Crank-Nicolson fitted finite volume method
• 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
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• A tree approach to options pricing under regime-switching jump diffusion models
• Convergence of estimated option price in a regime switching market
• Lattice-based model for pricing contingent claims under mixed fractional Brownian motion
• Pricing formula for exchange option based on stochastic delay differential equation with jumps
• Inference of binary regime models with jump discontinuities
• An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models
• Contingent claims on foreign assets following jump-diffusion processes
• A superconvergent partial differential equation approach to price variance swaps under regime switching models
• A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump-diffusion models
• A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes
• A high order finite element scheme for pricing options under regime switching jump diffusion processes
• COS method for option pricing under a regime-switching model with time-changed Lévy processes
• Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate
• Empirical analysis of SH50ETF and SH50ETF option prices under regime-switching jump-diffusion models
• Option pricing under regime-switching models: novel approaches removing path-dependence

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