Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates

DOI10.1016/J.CAM.2019.01.044MaRDI QIDQ2424929zbMATH OpenOpenAlexWikidataFDO

Authors Jiayong Bao, Yuexu Zhao

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

zbMATH Keywords

characteristic functionexponential Lévy modelFFTMarkovian regime switchingoption pricingstochastic interest rate

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods for discrete and fast Fourier transforms (65T50) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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Cited in

(24)

• Asymptotic analysis of option pricing in a Markov modulated market
• Pricing exotic options in a regime switching economy: a Fourier transform method
• Analytic techniques for option pricing under a hyperexponential Lévy model
• Extracting market information from equity options with exponential Lévy processes
• 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
• Option pricing for time-change exponential Lévy model under MEMM
• Integro-differential equations for option prices in exponential Lévy models
• Option pricing for a stochastic volatility Lévy model with stochastic interest rates
• On pricing European call option on exponential Lévy model with jumps in interest rate
• Integro-differential equations for option prices in Markov switching exponential Lévy models
• Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market
• scientific article; zbMATH DE number 6671412 (Why is no real title available?)
• scientific article; zbMATH DE number 5631315 (Why is no real title available?)
• Early exercise boundary and option prices in Lévy driven models
• Spread and basket option pricing in a Markov-modulated Lévy framework with synchronous jumps
• Multivariate European option pricing in a Markov-modulated Lévy framework
• Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model
• THE DYNAMIC PRICING FOR CALLABLE SECURITIES WITH MARKOV-MODULATED PRICES
• Option pricing in Markov regime switching Lévy models using Fourier-Cosine expansions
• An FFT approach for option pricing under a regime-switching stochastic interest rate model
• A novel banded preconditioner for coupled tempered fractional diffusion equation generated from the regime-switching CGMY model
• Enhancing valuation of variable annuities in Lévy models with stochastic interest rate
• Pricing and optimal surrender strategies of variable annuities with correlated interest rates and jump-diffusion equity

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