A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps

DOI10.1080/03610926.2020.1833221MaRDI QIDQ5093699zbMATH OpenOpenAlexFDO

Authors

Publication date 1 August 2022

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

Full work available at URL https://doi.org/10.1080/03610926.2020.1833221

zbMATH Keywords

double stochastic volatilityjumpsMarkov regime switchingoption pricingstochastic interest rate

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• The pricing of options and corporate liabilities
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(8)

• Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
• Valuation of European crude oil options with co-jump diffusions and stochastic interest rate
• Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility
• Pricing and hedging for correlation options with regime switching and common jump risk
• Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate
• Options pricing with Markov regime switching Heston volatility Hull-White interest rates and stochastic intensity
• Pricing vulnerable extremum options in a Markov regime-switching Heston's model and stochastic interest rate
• Some bivariate options pricing in a regime-switching stochastic volatility jump-diffusion model with stochastic intensity, stochastic interest and dependent jump

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