A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL
DOI10.1142/S0219024915500235zbMATH Open1337.91095MaRDI QIDQ5265237FDOQ5265237
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)
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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)
Cites Work
- Hybrid switching diffusions. Properties and applications
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- Stochastic Differential Equations with Markovian Switching
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- Stability of stochastic differential equations with Markovian switching
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Option pricing and Esscher transform under regime switching
- Robust parameter estimation for asset price models with Markov modulated volatilities
- Properties of solutions of stochastic differential equations with continuous-state-dependent switching
- FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
- 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?
- Dupire's equation for bubbles
- Generalisation of Hajek's stochastic comparison results to stochastic sums
- A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows
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