Pricing options in a Markov regime switching model with a random acceleration for the volatility

DOI10.1093/IMAMAT/HXW035MaRDI QIDQ4557217zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

regime switchingoption pricingstochastic volatilityEsscher transformhomotopy analysis methodrandom acceleration

Mathematics Subject Classification ID

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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