A simple approach for pricing equity options with Markov switching state variables

DOI10.1080/14697680500511215zbMATH Open1136.91410OpenAlexW2051136417MaRDI QIDQ5484634FDOQ5484634

Authors: Donald D. Aingworth, Sanjiv R. Das, Rajeev Motwani 

Publication date: 21 August 2006

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680500511215

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The pricing of options and corporate liabilities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Analysis of time series subject to changes in regime
• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES

Cited In (21)

• Option Pricing in a Jump-Diffusion Model with Regime Switching
• Efficiently pricing barrier options in a Markov-switching framework
• Valuation and optimal strategies for American options under a Markovian regime-switching model
• Regime-switching recombining tree for option pricing
• Iterative weak approximation and hard bounds for switching diffusion
• A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
• NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
• Laplace transform methods for a free boundary problem of time-fractional partial differential equation system
• Convergence rates of trinomial tree methods for option pricing under regime-switching models
• A lattice method for option pricing with two underlying assets in the regime-switching model
• Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates
• Option pricing with regime switching by trinomial tree method
• The number of regimes across asset returns: identification and economic value
• Option pricing under a normal mixture distribution derived from the Markov tree model
• Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model
• Stable reconstruction of the volatility in a regime-switching local-volatility model
• Option valuation by a self-exciting threshold binomial model
• Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method
• Pricing double-barrier option with processes depending on various states of the economy
• Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
• Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree

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