Option pricing under regime switching

DOI10.1088/1469-7688/2/2/303zbMath1405.91609OpenAlexW2113398415MaRDI QIDQ4646774

Ivilina Popova, Peter H. Ritchken, Jin-Chuan Duan

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/2/2/303

zbMATH Keywords

option pricingregime switchingstock price dynamicsAmerican option pricesGARCH option models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• Augmented GARCH\((p,q)\) process and its diffusion limit
• Empirical Martingale Simulation for Asset Prices
• THE GARCH OPTION PRICING MODEL
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• American option pricing under GARCH by a Markov chain approximation

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