Spread and basket option pricing in a Markov‐modulated Lévy framework with synchronous jumps
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Publication:4627095
DOI10.1002/asmb.2385zbMath1419.91610OpenAlexW2891028496MaRDI QIDQ4627095
Matthieu Simon, Griselda Deelstra, Sinem Kozpınar
Publication date: 7 March 2019
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.2385
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Cites Work
- Multivariate European option pricing in a Markov-modulated Lévy framework
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- Option pricing and Esscher transform under regime switching
- Option pricing for pure jump processes with Markov switching compensators
- Option pricing using variance gamma Markov chains
- Valuation of correlation options under a stochastic interest rate model with regime switching
- Riding on the smiles
- FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS
- Pricing and Hedging Spread Options
- COS method for option pricing under a regime-switching model with time-changed Lévy processes
- General closed-form basket option pricing bounds
- Closed form spread option valuation
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