scientific article; zbMATH DE number 2015362
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(55)- Option pricing when the regime-switching risk is priced
- A path-independent method for barrier option pricing in hidden Markov models
- Valuation and hedging strategy of currency options under regime-switching jump-diffusion model
- Pricing vulnerable options with market prices of common jump risks under regime-switching models
- An explicit analytic formula for pricing barrier options with regime switching
- Option pricing in regime-switching frameworks with the extended Girsanov principle
- A semi-analytic valuation of American options under a two-state regime-switching economy
- Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization
- Fitted finite volume method for indifference pricing in an exponential utility regime-switching model
- Modelling of limit order books by general compound Hawkes processes with implementations
- A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes
- Almost sure stability with general decay rate of neutral stochastic delayed hybrid systems with Lévy noise
- Option pricing under regime-switching models: novel approaches removing path-dependence
- Optimal insurance in a changing economy
- Pricing currency options under two-factor Markov-modulated stochastic volatility models
- Risk measures for derivatives with Markov-modulated pure jump processes
- Option valuation with a discrete-time double Markovian regime-switching model
- Local risk-minimization under Markov-modulated exponential Lévy model
- Option pricing and filtering with hidden Markov-modulated pure-jump processes
- On Markov‐modulated Exponential‐affine Bond Price Formulae
- Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
- A new exact solution for pricing European options in a two-state regime-switching economy
- A new method for option pricing via time-fractional PDE
- An exact formula for pricing American exchange options with regime switching
- PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES
- Option valuation by a self-exciting threshold binomial model
- Numerical method for optimal portfolio in an exponential utility regime-switching model
- Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
- Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model
- Numerical identification of time-dependent volatility in European options with two-stage regime-switching
- Finite maturity American-style stock loans with regime-switching volatility
- On the seasonality in the implied volatility of electricity options
- scientific article; zbMATH DE number 5172394 (Why is no real title available?)
- Pricing and semimartingale representations of vulnerable contingent claims in regime-switching markets
- Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders
- An integral equation approach for pricing American put options under regime-switching model
- Option pricing with exchange rate risk under regime-switching multi-scale jump-diffusion models
- Constrained optimal stopping under a regime-switching model
- Option pricing and Esscher transform under regime switching
- A Legendre-Galerkin spectral method for option pricing under regime switching models
- A PDE approach for risk measures for derivatives with regime switching
- Penalized schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities arising in regime switching utility maximization with optimal stopping
- A generalized approach for pricing American options under a regime-switching model
- Volatility modelling in a Markov-switching environment: two Ornstein-Uhlenbeck-related approaches
- Option pricing in a sentiment-biased stochastic volatility model
- Risk averse asset allocation in a context of climate change with reinforcement learning and hidden Markov models
- Option pricing for barrier options under a regime-switching mixed fractional Brownian motion with jumps model
- Solar energy risks: stochastic radiation modeling and optimal hedging strategies
- A viscosity solution method for optimal stopping problems with regime switching
- A game theoretic approach to option valuation under Markovian regime-switching models
- Pricing exotic options under a high-order Markovian regime switching model
- Pricing participating products under a generalized jump-diffusion model
- Optimal portfolios with regime switching and value-at-risk constraint
- A high-order Markov-switching model for risk measurement
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
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