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

DOI10.1002/ASMB.2635MaRDI QIDQ6579701zbMATH OpenFDO

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

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