Closed-form approximated pricing of multivariate derivatives under switching regime models

DOI10.1002/ASMB.2635MaRDI QIDQ6579701FDOQ6579701

Authors: Alexander Alvarez, Atousa Assadi, Kai Liu 

Publication date: 25 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

Markov switchingderivatives pricingstochastic covariance

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• THE GARCH OPTION PRICING MODEL
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Option pricing in a regime switching stochastic volatility model
• Markov switching models in empirical finance
• Option Pricing With Markov-Modulated Dynamics
• Empirical assessment of an intertemporal option pricing model with latent variables.
• Chapter 1 Dating Business Cycle Turning Points
• Volatility clustering in financial markets: empirical facts and agent-based models

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