Option Pricing With Markov-Modulated Dynamics

DOI10.1137/050623279zbMATH Open1158.91380OpenAlexW2032055260MaRDI QIDQ3427488FDOQ3427488

Authors: A. Jobert, L. C. G. Rogers 

Publication date: 20 March 2007

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/050623279

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zbMATH Keywords

regime switchingBlack-Scholes modelWiener-Hopf factorizationrisk-sensitive controloptionMarkov-modulatedMarkov-chain

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Cited In (72)

• First-passage times of regime switching models
• Strong convergence rate of the stochastic theta method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments
• Discounted Optimal Stopping Problems for Maxima of Geometric Brownian Motions With Switching Payoffs
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• Option pricing impact of alternative continuous-time dynamics
• Risk Minimizing Option Pricing in a Semi-Markov Modulated Market
• A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options
• Mixture dynamics and regime switching diffusions with application to option pricing
• CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING
• Pricing and hedging defaultable participating contracts with regime switching and jump risk
• Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing
• Option pricing in regime-switching frameworks with the extended Girsanov principle
• Markets with random lifetimes and private values: mean reversion and option to trade
• Double Telegraph Processes and Complete Market Models
• On the First Passage Time Under Regime-Switching with Jumps
• On perpetual American put valuation and first-passage in a regime-switching model with jumps
• PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION
• Prepayment option of a perpetual corporate loan: the impact of the funding costs
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• Equity with Markov-modulated dividends
• Asymptotic analysis of option pricing in a Markov modulated market
• Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market
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• Structural pricing of CoCos and deposit insurance with regime switching and jumps
• Limit theorems for stationary Markov processes with \(L^{2}\)-spectral gap
• Monotonicity of the value function for a two-dimensional optimal stopping problem
• First passage of time-reversible spectrally negative Markov additive processes
• Optimal consumption and portfolio under inflation and Markovian switching
• On stability of the Markov-modulated skew CIR process
• OPTION PRICING WITH FEEDBACK EFFECTS
• An explicit analytic formula for pricing barrier options with regime switching
• Option pricing in a regime switching stochastic volatility model
• A correction note on: ``When the `bull' meets the `bear' -- a first passage time problem for a hidden Markov process
• Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions
• Weak convergence of Markov-modulated diffusion processes with rapid switching
• Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations
• A system of non-local parabolic PDE and application to option pricing
• Exponential change of measure applied to term structures of interest rates and exchange rates
• Pricing derivatives in a regime switching market with time inhomogenous volatility
• Preserving exponential mean-square stability in the simulation of hybrid stochastic differential equations
• Asymptotic behavior analysis of Markovian switching neutral-type stochastic time-delay systems
• Convergence of estimated option price in a regime switching market
• On the default probability in a regime-switching regulated market
• Portfolio selection with jumps under regime switching
• Option pricing with a general marked point process.
• Option pricing model based on a Markov-modulated diffusion with jumps
• Computation of powered option prices under a general model for underlying asset dynamics
• EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
• Numerical Solution of a Matrix Integral Equation Arising in Markov-Modulated Lévy Processes
• Valuation of the prepayment option of a perpetual corporate loan
• First Passage of a Markov Additive Process and Generalized Jordan Chains
• Markov-modulated jump-diffusions for currency option pricing
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• Risk Minimizing Option Pricing in a Regime Switching Market
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• Probability law and flow function of Brownian motion driven by a generalized telegraph process
• Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
• The pricing of options for securities markets with delayed response
• FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS
• Continuous-time mean-variance portfolio selection with regime-switching financial market: time-consistent solution
• Option pricing under regime-switching models: novel approaches removing path-dependence
• Discounted optimal stopping problems in continuous hidden Markov models
• THE DYNAMIC PRICING FOR CALLABLE SECURITIES WITH MARKOV-MODULATED PRICES
• Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application
• Closed-form approximated pricing of multivariate derivatives under switching regime models
• Regime recovery using implied volatility in Markov modulated market model
• Traffic generated by a semi-Markov additive process
• Optimal stopping games in models with various information flows
• ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY
• Regime Classification and Stock Loan Valuation
• Inference of binary regime models with jump discontinuities
• Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model

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