A stochastic approximation algorithm for option pricing model calibration with a switchable market

DOI10.1080/00207160903128505MaRDI QIDQ3066992zbMATH OpenOpenAlexFDO

Authors Jie Yu, G. Yin, Q. Zhang

Publication date 20 January 2011

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160903128505

zbMATH Keywords

parameter estimationoption pricingstochastic approximationconvergence and rate of convergencemarket mode prediction

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic approximation (62L20)

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Cited in

(4)

• Option pricing when the regime-switching risk is priced
• Stochastic Approximation Algorithms for Parameter Estimation in Option Pricing with Regime Switching
• scientific article; zbMATH DE number 7108979 (Why is no real title available?)
• Stock loan valuation under a regime-switching model with mean-reverting and finite maturity

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