COS method for option pricing under a regime-switching model with time-changed Lévy processes
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Publication:4554448
DOI10.1080/14697688.2017.1412494zbMATH Open1400.91614OpenAlexW2790045928MaRDI QIDQ4554448FDOQ4554448
Authors: Geraldine Tour, Nawdha Thakoor, Désiré Yannick Tangman, A. Q. M. Khaliq 
Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2017.1412494
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regime-switchingoption pricingFourier cosine expansionmarket model calibrationtime-changed Lévy processes
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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Cited In (23)
- Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates
- Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
- Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model
- Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk
- A generalized integral equation formulation for pricing American options under regime-switching model
- Pricing ratchet equity index annuity with mortality risk by complex Fourier series method
- Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility
- A spectral element method for option pricing under regime-switching with jumps
- PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING
- An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models
- A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps
- Option pricing under time interval driven model
- Pricing some life-contingent lookback options under regime-switching Lévy models
- Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
- Spread and basket option pricing in a Markov-modulated Lévy framework with synchronous jumps
- A novel banded preconditioner for coupled tempered fractional diffusion equation generated from the regime-switching CGMY model
- Valuation of a DB underpin hybrid pension under a regime-switching Lévy model
- A generalized Esscher transform for option valuation with regime switching risk
- An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models
- Precise option pricing by the COS method -- how to choose the truncation range
- Option pricing in Markov regime switching Lévy models using Fourier-Cosine expansions
- Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate
- Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees
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