Markov-modulated jump-diffusions for currency option pricing
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Publication:659253
DOI10.1016/J.INSMATHECO.2010.01.003zbMATH Open1231.91425OpenAlexW3123942782MaRDI QIDQ659253FDOQ659253
Authors: Xuewei Yang, Lijun Bo, Yongjin Wang 
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.01.003
Recommendations
- Rare shock, two-factor stochastic volatility and currency option pricing
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Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- A theory of the term structure of interest rates
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- Option pricing when underlying stock returns are discontinuous
- Martingales and stochastic integrals in the theory of continuous trading
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- Option pricing and Esscher transform under regime switching
- Option pricing for pure jump processes with Markov switching compensators
- Pricing currency options under two-factor Markov-modulated stochastic volatility models
- Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
- Option Pricing With Markov-Modulated Dynamics
- On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
- Actuarial bridges to dynamic hedging and option pricing
- Jump-diffusion processes in the foreign exchange markets and the release of macroeconomic news
- Equity with Markov-modulated dividends
Cited In (30)
- THE DYNAMIC PRICING FOR CALLABLE SECURITIES WITH MARKOV-MODULATED PRICES
- Pricing vulnerable options with market prices of common jump risks under regime-switching models
- Pricing currency derivatives with Markov-modulated Lévy dynamics
- Risk-minimizing pricing and hedging foreign currency options under regime-switching jump-diffusion models
- Pricing currency options under two-factor Markov-modulated stochastic volatility models
- Stochastic differential equations with diffusion and jumps modeling currency markets
- Exchange option pricing in jump-diffusion models based on Esscher transform
- Multivariate European option pricing in a Markov-modulated Lévy framework
- Option pricing under a Markov-modulated Merton jump-diffusion dividend
- Quanto option pricing with a jump diffusion process
- Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion
- Structural pricing of CoCos and deposit insurance with regime switching and jumps
- Optimal investment of variance-swaps in jump-diffusion market with regime-switching
- Variance swap pricing under Markov-modulated jump-diffusion model
- Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options
- On stability of the Markov-modulated skew CIR process
- Option pricing in a regime switching stochastic volatility model
- Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps
- Exponential change of measure applied to term structures of interest rates and exchange rates
- Title not available (Why is that?)
- Rare shock, two-factor stochastic volatility and currency option pricing
- Valuation and hedging strategy of currency options under regime-switching jump-diffusion model
- Pricing options with credit risk in Markovian regime-switching markets
- Empirical study on option pricing under Markov regime switching economics
- Pension risk management with funding and buyout options
- Currency option pricing with Wishart process
- Inference of binary regime models with jump discontinuities
- Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model
- Option pricing with exchange rate risk under regime-switching multi-scale jump-diffusion models
- Empirical analysis of SH50ETF and SH50ETF option prices under regime-switching jump-diffusion models
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