Option valuation under a regime-switching constant elasticity of variance process

DOI10.1016/j.amc.2012.10.047zbMath1422.91691OpenAlexW2083138574MaRDI QIDQ2350148

Leunglung Chan, Robert J. Elliott, Tak Kuen Siu

Publication date: 18 June 2015

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

Full work available at URL: https://doi.org/10.1016/j.amc.2012.10.047

zbMATH Keywords

option pricingregime switchingCEV modelsearly exercise premiumstime-changed Bessel processes

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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A self-exciting threshold jump-diffusion model for option valuation ⋮ An Exact Formula for Pricing American Exchange Options with Regime Switching ⋮ Tamed-Euler method for nonlinear switching diffusion systems with locally Hölder diffusion coefficients ⋮ Stable reconstruction of the volatility in a regime-switching local-volatility model ⋮ An explicit analytic formula for pricing barrier options with regime switching ⋮ Pricing volatility derivatives under the modified constant elasticity of variance model ⋮ Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm

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