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(only showing first 100 items - show all)- Asymptotic analysis of option pricing in a Markov modulated market
- A path-independent method for barrier option pricing in hidden Markov models
- Ergodicity and first passage probability of regime-switching geometric Brownian motions
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
- Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities
- Valuation and hedging strategy of currency options under regime-switching jump-diffusion model
- The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options
- Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint
- A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
- An optimal stochastic control framework for determining the cost of hedging of variable annuities
- A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
- A local radial basis function method for pricing options under the regime switching model
- Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
- Asset pricing using trading volumes in a hidden regime-switching environment
- Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
- An explicit analytic formula for pricing barrier options with regime switching
- An exact and explicit formula for pricing lookback options with regime switching
- Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
- Convertible bond valuation with regime switching
- Optimal feedback control of stock prices under credit risk dynamics
- Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model
- Approximate-analytical solution to the information measure's based quanto option pricing model
- A regime switching fractional Black-Scholes model and European option pricing
- Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level
- Regime-switching shot-noise processes and longevity bond pricing
- A regime switching model for temperature modeling and applications to weather derivatives pricing
- A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes
- Convergence rates of trinomial tree methods for option pricing under regime-switching models
- On pricing options with stressed-beta in a reduced form model
- Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model
- Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model
- Laplace transform methods for a free boundary problem of time-fractional partial differential equation system
- Option pricing under regime-switching models: novel approaches removing path-dependence
- Optimal insurance in a changing economy
- Optimal stochastic investment games under Markov regime switching market
- A lattice method for option pricing with two underlying assets in the regime-switching model
- Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model
- Risk measures for derivatives with Markov-modulated pure jump processes
- Option pricing with regime switching by trinomial tree method
- Optimal stopping problem for jump-diffusion processes with regime-switching
- Differential quadrature parallel algorithms for solving systems of convection-diffusion and reaction models
- A stochastic flows approach for asset allocation with hidden economic environment
- Option pricing in a world with arbitrage
- Saddlepoint approximations to option price in a regime-switching model
- Option pricing and filtering with hidden Markov-modulated pure-jump processes
- A self-exciting threshold jump-diffusion model for option valuation
- A new exact solution for pricing European options in a two-state regime-switching economy
- Exchange option in a two-state Poisson CAPM
- Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility
- COS method for option pricing under a regime-switching model with time-changed Lévy processes
- A new method for option pricing via time-fractional PDE
- A hidden Markov-modulated jump diffusion model for European option pricing
- An exact formula for pricing American exchange options with regime switching
- Investment-consumption with regime-switching discount rates
- PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES
- Option valuation by a self-exciting threshold binomial model
- Regime-switching pure jump processes and applications in the valuation of mortality-linked products
- Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates
- A model for stock price fluctuations based on information
- Bilateral counterparty risk valuation on a CDS with a common shock model
- Ergodicity of one-dimensional regime-switching diffusion processes
- Probability law and flow function of Brownian motion driven by a generalized telegraph process
- Smart Indexing Under Regime-Switching Economic States
- Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
- The pricing of credit default swaps under a Markov-modulated Merton's structural model
- Pricing annuity guarantees under a regime-switching model
- An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models
- Pricing double-barrier option with processes depending on various states of the economy
- A generalized Esscher transform for option valuation with regime switching risk
- Pricing electricity day-ahead cap futures with multifactor skew-t densities
- Optimal redeeming strategy of stock loans under drift uncertainty
- Option pricing in markets with informed traders
- Convergence rate of regime-switching trees
- An analytical approximation formula for the pricing of credit default swaps with regime switching
- Hedging options in a doubly Markov-modulated financial market via stochastic flows
- On the seasonality in the implied volatility of electricity options
- An Empirical Investigation of CDS Spreads Using a Regime-Switching Default Risk Model
- Optimal portfolio in a regime-switching model
- Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
- European option pricing with market frictions, regime switches and model uncertainty
- Pricing and hedging for correlation options with regime switching and common jump risk
- Stochastic control with inhomogeneous regime switching: application to consumption and investment with unemployment and reemployment
- An integral equation approach for pricing American put options under regime-switching model
- On pricing and hedging options in regime-switching models with feedback effect
- An analytic valuation method for multivariate contingent claims with regime-switching volatilities
- Utility-based indifference pricing in regime-switching models
- Projection and contraction method for the valuation of American options under regime switching
- Estimation of regime-switching diffusions via Fourier transforms
- A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis
- Primal-dual active set algorithm for valuating American options under regime switching
- A Markov-modulated model for stocks paying discrete dividends
- A generalized integral equation formulation for pricing American options under regime-switching model
- A hidden Markov regime-switching model for option valuation
- Learning and Index Option Returns
- Empirical study on option pricing under Markov regime switching economics
- A generalized contagion credit risk model with application in pricing CDS index tranche
- A generalized approach for pricing American options under a regime-switching model
- Efficient computation of Wiener-Hopf factorization of Markov-modulated Brownian motion
- Markov chain approximation approach to European option pricing in the presence of proportional transaction costs and regime-switching
- Efficiently pricing barrier options in a Markov-switching framework
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