Pricing vulnerable options under a Markov-modulated regime switching model

DOI10.1080/03610920903268873MaRDI QIDQ3064081zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

regime switchingoption pricingEsscher transformvulnerable option

Mathematics Subject Classification ID

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)

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Cites work

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

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 Options Under a Generalized Markov-Modulated Jump-Diffusion Model
• Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion
• 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 options with credit risk in Markovian regime-switching markets
• Pricing vulnerable option under jump-diffusion model with incomplete information
• 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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