A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL

DOI10.1142/S0219024915500235MaRDI QIDQ5265237zbMATH OpenFDO

Authors Robert J. Elliott, Leunglung Chan, Tak Kuen Siu

Publication date 23 July 2015

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Esscher transformforward equationsregime-switching adjoint formularegime-switching local volatility model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• Dynamics of a mean-reverting stochastic volatility equation with regime switching
• A new approach to model regime switching
• The dynamics of the NAIRU model with two switching regimes
• A regime-switching model with applications to finance: Markovian and non-Markovian cases
• Modeling dependence dynamics through copulas with regime switching
• A Markov copula model with regime switching and its application
• PARAMETER ESTIMATION FOR A REGIME-SWITCHING MEAN-REVERTING MODEL WITH JUMPS
• Asymptotic properties of autoregressive regime-switching models
• A \(2\times 2\) random switching model and its dual risk model

Cites work

• scientific article; zbMATH DE number 3505981 (Why is no real title available?)
• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• scientific article; zbMATH DE number 3233089 (Why is no real title available?)
• AMERICAN OPTIONS WITH REGIME SWITCHING
• FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
• Hybrid switching diffusions. Properties and applications
• Option pricing and Esscher transform under regime switching
• Properties of solutions of stochastic differential equations with continuous-state-dependent switching
• Robust parameter estimation for asset price models with Markov modulated volatilities
• Stability of stochastic differential equations with Markovian switching
• Stochastic Differential Equations with Markovian Switching
• The variational principle and stochastic optimal control

Cited in

(7)

• Fitted finite volume method for indifference pricing in an exponential utility regime-switching model
• Variance and volatility swaps under a two-factor stochastic volatility model with regime switching
• Forward equations for option prices in semimartingale models
• How should a local regime-switching model be calibrated?
• Generalisation of Hajek's stochastic comparison results to stochastic sums
• Dupire's equation for bubbles
• A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows

This page was built for publication: A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5265237)