Option Pricing in a Jump-Diffusion Model with Regime Switching

DOI10.2143/AST.39.2.2044646zbMath1180.91298MaRDI QIDQ3653509

Hailiang Yang, Fei Lung Yuen

Publication date: 22 December 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

option pricing; regime switching; jump-diffusion model; trinomial tree method; price of regime switching risk

Mathematics Subject Classification ID

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS, A high order finite element scheme for pricing options under regime switching jump diffusion processes, Option valuation by a self-exciting threshold binomial model, Time-consistent actuarial valuations, Pricing annuity guarantees under a double regime-switching model, A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk, Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method

Cites Work

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