Option valuation by a self-exciting threshold binomial model
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Publication:462735
DOI10.1016/J.MCM.2012.07.014zbMATH Open1297.91139OpenAlexW1979489869MaRDI QIDQ462735FDOQ462735
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
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Cites Work
- The pricing of options and corporate liabilities
- Title not available (Why is that?)
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Multinomial Approximating Models for Options with k State Variables
- An explicit finite difference approach to the pricing of barrier options
- Information and option pricings
- Option pricing: A simplified approach
- Option pricing and Esscher transform under regime switching
- Option Pricing in a Jump-Diffusion Model with Regime Switching
- Title not available (Why is that?)
- Title not available (Why is that?)
- A simple approach for pricing equity options with Markov switching state variables
- A game theoretic approach to option valuation under Markovian regime-switching models
Cited In (11)
- A parameter estimation of binomial models
- Title not available (Why is that?)
- 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
- Option pricing with threshold diffusion processes
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