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

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Analysis of time series subject to changes in regime
• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• The pricing of options and corporate liabilities
• Valuing American options by simulation: a simple least-squares approach

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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