Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model

DOI10.1080/03610920903268873zbMath1202.91328MaRDI QIDQ3064081

Wei Wang, Wen Sheng Wang

Publication date: 20 December 2010

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920903268873

zbMATH Keywords

option pricing; regime switching; Esscher transform; vulnerable option

Mathematics Subject Classification ID

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

Cites Work

• Option pricing and Esscher transform under regime switching
• Martingales and stochastic integrals in the theory of continuous trading
• A general version of the fundamental theorem of asset pricing
• A stochastic calculus model of continuous trading: Complete markets
• Valuation of vulnerable American options with correlated credit risk
• The credit risk and pricing of OTC options
• Pricing currency options under two-factor Markov-modulated stochastic volatility models
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
• On Esscher Transforms in Discrete Finance Models
• Option pricing when underlying stock returns are discontinuous