Option pricing based on a regime switching dividend process

DOI10.1080/03610926.2019.1625920OpenAlexW2954048307MaRDI QIDQ5078079

Huisheng Shu, Huahui Yan, Qihong Chen

Publication date: 20 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1625920

zbMATH Keywords

hidden Markov chainoption pricingregime switchingjump diffusion modeldiscrete dividend

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items

Option pricing under a Markov-modulated Merton jump-diffusion dividend

Cites Work

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• A summary on pricing American call options under the assumption of a lognormal framework in the Korn-Rogers model
• A Markov-modulated model for stocks paying discrete dividends
• Option pricing and Esscher transform under regime switching
• Pricing currency options under two-factor Markov-modulated stochastic volatility models
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Pricing Equity-indexed Annuities When Discrete Dividends Follow a Markov-Modulated Jump Diffusion Model
• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
• Ergodic Control of Switching Diffusions

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