Valuing qualitative options with stochastic volatility

DOI10.1080/14697680802629392zbMath1180.91288OpenAlexW2119908785MaRDI QIDQ3650963

Kum-Hwan Roh, Bong-Gyu Jang

Publication date: 7 December 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680802629392

zbMATH Keywords

stochastic volatilityalternative investmentcorridor optionqualitative optionregime-switching environment

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Convertible bond valuation with regime switching ⋮ An analytic valuation method for multivariate contingent claims with regime-switching volatilities

Cites Work

• Analysis of time series subject to changes in regime
• Some applications of occupation times of Brownian motion with drift in mathematical finance
• Stochastic calculus for finance. II: Continuous-time models.
• Corridor options and arc-sine law.
• Regime switching in foreign exchange rates: Evidence from currency option prices
• Step Options
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Empirical Performance and Asset Pricing in Hidden Markov Models
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS

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