Information and option pricings
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Publication:4646463
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- Efficiently pricing barrier options in a Markov-switching framework
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- A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
- Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint
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- PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES
- An exact formula for pricing American exchange options with regime switching
- A local radial basis function method for pricing options under the regime switching model
- Fair valuation of participating policies with surrender options and regime switching
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- 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
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- Laplace transform methods for a free boundary problem of time-fractional partial differential equation system
- An exact and explicit formula for pricing lookback options with regime switching
- Smart Indexing Under Regime-Switching Economic States
- Saddlepoint approximations to option price in a regime-switching model
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- Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level
- Convergence rates of trinomial tree methods for option pricing under regime-switching models
- On the seasonality in the implied volatility of electricity options
- Hedging options in a doubly Markov-modulated financial market via stochastic flows
- A lattice method for option pricing with two underlying assets in the regime-switching model
- Stochastic control with inhomogeneous regime switching: application to consumption and investment with unemployment and reemployment
- Option pricing in markets with informed traders
- Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates
- Regime-switching pure jump processes and applications in the valuation of mortality-linked products
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- Option pricing with regime switching by trinomial tree method
- Asymptotic analysis of option pricing in a Markov modulated market
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- Regime-switching shot-noise processes and longevity bond pricing
- Investment-consumption with regime-switching discount rates
- An analytical approximation formula for the pricing of credit default swaps 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
- Learning and Index Option Returns
- Optimal redeeming strategy of stock loans under drift uncertainty
- An analytic valuation method for multivariate contingent claims with regime-switching volatilities
- A game theoretic approach to option valuation under Markovian regime-switching models
- Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
- Pricing annuity guarantees under a regime-switching model
- An explicit analytic formula for pricing barrier options with regime switching
- Bilateral counterparty risk valuation on a CDS with a common shock model
- A regime switching fractional Black-Scholes model and European option pricing
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
- A self-exciting threshold jump-diffusion model for option valuation
- Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
- A model for stock price fluctuations based on information
- Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model
- Ergodicity of one-dimensional regime-switching diffusion processes
- Utility-based indifference pricing in regime-switching models
- Approximate-analytical solution to the information measure's based quanto option pricing model
- Option valuation by a self-exciting threshold binomial model
- An integral equation approach for pricing American put options under regime-switching model
- The pricing of credit default swaps under a Markov-modulated Merton's structural model
- A hidden Markov regime-switching model for option valuation
- Pricing double-barrier option with processes depending on various states of the economy
- 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
- Projection and contraction method for the valuation of American options under regime switching
- Optimal portfolios with regime switching and value-at-risk constraint
- Optimal stopping problem for jump-diffusion processes with regime-switching
- The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options
- A generalized Esscher transform for option valuation with regime switching risk
- Empirical study on option pricing under Markov regime switching economics
- Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
- A Markov-modulated model for stocks paying discrete dividends
- Probability law and flow function of Brownian motion driven by a generalized telegraph process
- Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model
- An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models
- Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
- Differential quadrature parallel algorithms for solving systems of convection-diffusion and reaction models
- Option pricing in a world with arbitrage
- Explicit solutions to European options in a regime-switching economy
- Convergence rate of regime-switching trees
- COS method for option pricing under a regime-switching model with time-changed Lévy processes
- Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
- A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes
- Pricing electricity day-ahead cap futures with multifactor skew-t densities
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