Option valuation by a self-exciting threshold binomial model

DOI10.1016/J.MCM.2012.07.014MaRDI QIDQ462735zbMATH OpenOpenAlexFDO

Authors Fei Lung Yuen, Tak Kuen Siu, Hailiang Yang

Publication date 21 October 2014

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.mcm.2012.07.014

zbMATH Keywords

regime switchingoption valuationself-excitingbinomial modelsthreshold principletrinomial extensions

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

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• scientific article; zbMATH DE number 2015362 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A game theoretic approach to option valuation under Markovian regime-switching models
• A simple approach for pricing equity options with Markov switching state variables
• AMERICAN OPTIONS WITH REGIME SWITCHING
• An explicit finite difference approach to the pricing of barrier options
• Information and option pricings
• Multinomial Approximating Models for Options with k State Variables
• Option Pricing in a Jump-Diffusion Model with Regime Switching
• Option pricing and Esscher transform under regime switching
• Option pricing: A simplified approach
• The pricing of options and corporate liabilities

Cited in

(11)

• Option pricing with threshold diffusion processes
• scientific article; zbMATH DE number 1724301 (Why is no real title available?)
• A parameter estimation of binomial models
• Option pricing under threshold autoregressive models by threshold Esscher transform
• Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model
• Multi-period multi-criteria (MPMC) valuation of American options based on entropy optimization principles
• A self-exciting threshold jump-diffusion model for option valuation
• Optimal portfolio in a continuous-time self-exciting threshold model
• An adaptive averaging binomial method for option valuation
• Convergence rate of regime-switching trees
• Randomized binomial tree and pricing of American-style options

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