Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates
From MaRDI portal
Publication:2424929
DOI10.1016/j.cam.2019.01.044zbMath1417.91491OpenAlexW2915112278WikidataQ115581044 ScholiaQ115581044MaRDI QIDQ2424929
Publication date: 25 June 2019
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.2019.01.044
option pricingFFTcharacteristic functionstochastic interest rateexponential Lévy modelMarkovian regime switching
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)
Related Items
An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models, Pricing some life-contingent lookback options under regime-switching Lévy models
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model
- Multivariate European option pricing in a Markov-modulated Lévy framework
- Interest rate models -- theory and practice. With smile, inflation and credit
- Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows
- Option pricing when the regime-switching risk is priced
- Option pricing using variance gamma Markov chains
- Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
- Longevity bond pricing under stochastic interest rate and mortality with regime-switching
- Pricing annuity guarantees under a double regime-switching model
- Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes
- On Markov‐modulated Exponential‐affine Bond Price Formulae
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- COS method for option pricing under a regime-switching model with time-changed Lévy processes
- A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing
- Financial Modelling with Jump Processes
- Changes of numéraire, changes of probability measure and option pricing
- An intensity model for credit risk with switching Lévy processes
- An FFT approach for option pricing under a regime-switching stochastic interest rate model
- Pricing Interest-Rate-Derivative Securities
- Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes
- Option pricing when underlying stock returns are discontinuous
