A self-exciting threshold jump-diffusion model for option valuation

DOI10.1016/j.insmatheco.2016.05.008zbMath1369.91185OpenAlexW2401257423MaRDI QIDQ343990

Tak Kuen Siu

Publication date: 21 November 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.05.008

zbMATH Keywords

quadratic approximationgeneralized Esscher transformoption valuationpiecewise linear partial differential equationself-exciting threshold model

Mathematics Subject Classification ID

Related Items (8)

Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations ⋮ A generalized Esscher transform for option valuation with regime switching risk ⋮ European option pricing with market frictions, regime switches and model uncertainty ⋮ A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA ⋮ A switching self-exciting jump diffusion process for stock prices ⋮ Pricing European vanilla options under a jump-to-default threshold diffusion model ⋮ A Markov chain approximation scheme for option pricing under skew diffusions ⋮ Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• A stochastic flows approach for asset allocation with hidden economic environment
• Optimal portfolio in a continuous-time self-exciting threshold model
• Option valuation by a self-exciting threshold binomial model
• Threshold models in non-linear time series analysis
• On pricing and hedging options in regime-switching models with feedback effect
• Regime-switching risk: to price or not to price?
• A hidden Markov regime-switching model for option valuation
• Option pricing and Esscher transform under regime switching
• Mathematics of financial markets.
• Fair valuation of participating policies with surrender options and regime switching
• On the pricing of American options
• Pricing participating products under a generalized jump-diffusion model
• Option pricing when the regime-switching risk is priced
• A Markov model for switching regressions
• The fundamental theorem of asset pricing for unbounded stochastic processes
• A general version of the fundamental theorem of asset pricing
• The cumulant process and Esscher's change of measure
• Asset pricing using trading volumes in a hidden regime-switching environment
• On pricing barrier options with regime switching
• Option valuation under a regime-switching constant elasticity of variance process
• Inference in hidden Markov models.
• Option pricing under threshold autoregressive models by threshold Esscher transform
• Pricing currency options under two-factor Markov-modulated stochastic volatility models
• A risk-based approach for pricing American options under a generalized Markov regime-switching model
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes
• ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
• Option Pricing in a Jump-Diffusion Model with Regime Switching
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Optimal Stopping and the American Put
• THRESHOLD AUTOREGRESSIVE MODELING IN FINANCE: THE PRICE DIFFERENCES OF EQUIVALENT ASSETS¹
• Diffusions and Elliptic Operators
• A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing
• Information and option pricings
• Option Pricing with Threshold Diffusion Processes
• On conditionally heteroscedastic AR models with thresholds
• Asset allocation under threshold autoregressive models
• Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
• The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
• Optimal stopping, free boundary, and American option in a jump-diffusion model

This page was built for publication: A self-exciting threshold jump-diffusion model for option valuation