Option valuation with a discrete-time double Markovian regime-switching model

DOI10.1080/1350486X.2011.578457MaRDI QIDQ2889601zbMATH OpenOpenAlexFDO

Authors Tak Kuen Siu, Eric S. Fung, Michael Ng

Publication date 8 June 2012

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486x.2011.578457

zbMATH Keywords

Esscher transformoption valuationdouble Markovian regime-switching modelnon-normal innovations

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Recommendations

• Option pricing when the regime-switching risk is priced
• A hidden Markov regime-switching model for option valuation
• Pricing options with credit risk in Markovian regime-switching markets
• Option pricing and Esscher transform under regime switching
• Two-factor Markov-modulated stochastic volatility models for option pricing

Cites work

• scientific article; zbMATH DE number 2015362 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A general version of the fundamental theorem of asset pricing
• A stochastic calculus model of continuous trading: Complete markets
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Autoregressive conditional heteroskedasticity and changes in regime
• Martingales and stochastic integrals in the theory of continuous trading
• On Esscher Transforms in Discrete Finance Models
• On the fundamental theorem of asset pricing with an infinite state space
• Option pricing and Esscher transform under regime switching
• Recursive estimation for hidden Markov models: a dependent case
• Short rate nonlinearities and regime switches.

Cited in

(7)

• Option pricing when the regime-switching risk is priced
• A game theoretic approach to option valuation under Markovian regime-switching models
• A hidden Markov regime-switching model for option valuation
• Option pricing under regime-switching models: novel approaches removing path-dependence
• Hedging options in a doubly Markov-modulated financial market via stochastic flows
• Option pricing in regime-switching frameworks with the extended Girsanov principle
• Double continuation regions for American and Swing options with negative discount rate in Lévy models

This page was built for publication: Option valuation with a discrete-time double Markovian regime-switching model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2889601)