Pricing vulnerable options under a Markov-modulated regime switching model
DOI10.1080/03610920903268873zbMATH Open1202.91328OpenAlexW2002383375MaRDI QIDQ3064081FDOQ3064081
Authors: Wei Wang, Wensheng 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
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Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial applications of other theories (91G80)
Cites Work
- A general version of the fundamental theorem of asset pricing
- Option pricing when underlying stock returns are discontinuous
- 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
- Pricing currency options under two-factor Markov-modulated stochastic volatility models
- Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
- Valuation of vulnerable American options with correlated credit risk
- The credit risk and pricing of OTC options
Cited In (15)
- Pricing warrant bonds with credit risk under a jump diffusion process
- Pricing vulnerable options with market prices of common jump risks under regime-switching models
- Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales
- Pricing exotic options under a high-order Markovian regime switching model
- Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion
- Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
- On barrier option pricing by Erlangization in a regime-switching model with jumps
- Pricing and semimartingale representations of vulnerable contingent claims in regime-switching markets
- Option pricing in a regime switching stochastic volatility model
- Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
- The European vulnerable option pricing with jumps based on a mixed model
- Pricing vulnerable option under jump-diffusion model with incomplete information
- Pricing options with credit risk in Markovian regime-switching markets
- Valuing power options under a regime-switching model
- Pricing risky debts under a Markov-modulated Merton model with completely random measures
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