Option pricing under jump-diffusion processes with regime switching
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Publication:340129
DOI10.1007/S11009-015-9462-7zbMATH Open1350.91017OpenAlexW2260877778MaRDI QIDQ340129FDOQ340129
Authors: Nikita Ratanov 
Publication date: 11 November 2016
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-015-9462-7
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with continuous parameter (60G44)
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Cited In (41)
- Information and option pricings
- Option Pricing in a Jump-Diffusion Model with Regime Switching
- Title not available (Why is that?)
- Option pricing by the backward stochastic differential equation method and the equivalent probability martingale measure in the jump-diffusion model
- Pricing of exponential European option under jump-diffusion models
- Mixture dynamics and regime switching diffusions with application to option pricing
- A switching self-exciting jump diffusion process for stock prices
- Location of Schweizer price in the range of European option prices for a diffusion with jumps model of of the financial market
- Option pricing in regime-switching frameworks with the extended Girsanov principle
- Option pricing and Esscher transform under regime switching
- Good-deal bounds in a regime-switching diffusion market
- Title not available (Why is that?)
- Option pricing for pure jump processes with Markov switching compensators
- Title not available (Why is that?)
- Option pricing under a jump-telegraph diffusion model with jumps of random size
- Numerical approximation of a hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay
- On jump-diffusion processes with regime switching: martingale approach
- Saddlepoint approximations to option price in a regime-switching model
- What is beneath the surface? Option pricing with multifrequency latent states
- Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
- Asymptotic expansions of option price under regime-switching diffusions with a fast-varying switching process
- Coupling and option price comparisons in a jump-diffusion model
- A lattice approach for option pricing under a regime-switching GARCH-jump model
- Title not available (Why is that?)
- On option pricing under a completely random measure via a generalized Esscher transform
- Analog of the Black-Scholes formula for option pricing under conditions of \((B, S, X)\)-incomplete market of securities with jumps
- An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models
- Title not available (Why is that?)
- Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment
- Convergence of estimated option price in a regime switching market
- Option pricing with a general marked point process.
- Option pricing under regime-switching jump-diffusion models
- Parameter estimation of the option pricing formula on a class of jump-diffusion models
- Risk-neutral compatibility with option prices
- A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes
- Title not available (Why is that?)
- Asymptotic option pricing under a pure jump process
- Option pricing and filtering with hidden Markov-modulated pure-jump processes
- A hidden Markov-modulated jump diffusion model for European option pricing
- Option pricing under regime-switching models: novel approaches removing path-dependence
- Option pricing with threshold diffusion processes
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