Option valuation with a discrete-time double Markovian regime-switching model
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Publication:2889601
DOI10.1080/1350486X.2011.578457zbMATH Open1239.91167OpenAlexW1984146097MaRDI QIDQ2889601FDOQ2889601
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
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Cites Work
- Autoregressive conditional heteroskedasticity and changes in regime
- 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
- Martingales and stochastic integrals in the theory of continuous trading
- A stochastic calculus model of continuous trading: Complete markets
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Option pricing and Esscher transform under regime switching
- On Esscher Transforms in Discrete Finance Models
- Short rate nonlinearities and regime switches.
- Title not available (Why is that?)
- Recursive estimation for hidden Markov models: a dependent case
- On the fundamental theorem of asset pricing with an infinite state space
Cited In (7)
- Option pricing in regime-switching frameworks with the extended Girsanov principle
- Option pricing when the regime-switching risk is priced
- Double continuation regions for American and Swing options with negative discount rate in Lévy models
- Hedging options in a doubly Markov-modulated financial market via stochastic flows
- 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
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