Pricing options in a Markov regime switching model with a random acceleration for the volatility
DOI10.1093/IMAMAT/HXW035zbMATH Open1418.91509OpenAlexW2521209685MaRDI QIDQ4557217FDOQ4557217
Authors: Robert J. Elliott, Leunglung Chan, Tak Kuen Siu 
Publication date: 29 November 2018
Published in: IMA Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://ap01.alma.exlibrisgroup.com/view/delivery/61USOUTHAUS_INST/12142960930001831
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regime switchingoption pricingstochastic volatilityEsscher transformhomotopy analysis methodrandom acceleration
Applications of continuous-time Markov processes on discrete state spaces (60J28) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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- Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model
- Pricing derivatives in a regime switching market with time inhomogenous volatility
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- A generalized Esscher transform for option valuation with regime switching risk
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