Multivariate European option pricing in a Markov-modulated Lévy framework

DOI10.1016/J.CAM.2016.11.040MaRDI QIDQ507979zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

regime-switchingEsscher transformexchange options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A new exact solution for pricing European options in a two-state regime-switching economy
• AMERICAN OPTIONS WITH REGIME SWITCHING
• An analytic valuation method for multivariate contingent claims with regime-switching volatilities
• Applied Probability and Queues
• Changes of numéraire, changes of probability measure and option pricing
• Markov-modulated jump-diffusions for currency option pricing
• Option pricing and Esscher transform under regime switching
• Option pricing for pure jump processes with Markov switching compensators
• Option pricing using variance gamma Markov chains
• Parameter estimation in stochastic differential equations.
• Pricing currency options under two-factor Markov-modulated stochastic volatility models
• Pricing exotic options under regime switching

Cited in

(12)

• Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates
• Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect
• Pricing and hedging for correlation options with regime switching and common jump risk
• Pricing multivariate options under stochastic volatility Lévy processes
• A preconditioned iterative method for coupled fractional partial differential equation in European option pricing
• Dimension reduction for pricing options under multidimensional Lévy processes
• Spread and basket option pricing in a Markov-modulated Lévy framework with synchronous jumps
• 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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