Multivariate European option pricing in a Markov-modulated Lévy framework
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Publication:507979
DOI10.1016/J.CAM.2016.11.040zbMATH Open1386.91139OpenAlexW2559925996MaRDI QIDQ507979FDOQ507979
Authors: Griselda Deelstra, Matthieu Simon 
Publication date: 9 February 2017
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2016.11.040
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Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- Applied Probability and Queues
- Parameter estimation in stochastic differential equations.
- Pricing exotic options under regime switching
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Option pricing and Esscher transform under regime switching
- Option pricing for pure jump processes with Markov switching compensators
- Changes of numéraire, changes of probability measure and option pricing
- A new exact solution for pricing European options in a two-state regime-switching economy
- An analytic valuation method for multivariate contingent claims with regime-switching volatilities
- Option pricing using variance gamma Markov chains
- Pricing currency options under two-factor Markov-modulated stochastic volatility models
- Markov-modulated jump-diffusions for currency option pricing
Cited In (11)
- Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates
- Spread and basket option pricing in a Markov‐modulated Lévy framework with synchronous jumps
- Pricing and hedging for correlation options with regime switching and common jump risk
- Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect
- A preconditioned iterative method for coupled fractional partial differential equation in European option pricing
- Dimension reduction for pricing options under multidimensional Lévy processes
- SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS
- Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model
- Consistent asset modelling with random coefficients and switches between regimes
- Numerical Solution of a Matrix Integral Equation Arising in Markov-Modulated Lévy Processes
- COS method for option pricing under a regime-switching model with time-changed Lévy processes
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