Explicit solutions to European options in a regime-switching economy

DOI10.1016/j.orl.2004.12.003zbMath1116.91047OpenAlexW2071622900MaRDI QIDQ813961

Rogemar S. Mamon, Marianito R. Rodrigo

Publication date: 2 February 2006

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2004.12.003

zbMATH Keywords

option pricingBlack-Scholes PDEMarkov chain in continuous time

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (25)

Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market ⋮ Option pricing with regime switching by trinomial tree method ⋮ A semi-analytic valuation of American options under a two-state regime-switching economy ⋮ Valuation of the prepayment option of a perpetual corporate loan ⋮ Downside risk measurement in regime switching stochastic volatility ⋮ HARA frontiers of optimal portfolios in stochastic markets ⋮ Option pricing under regime-switching models: novel approaches removing path-dependence ⋮ Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions ⋮ A simple novel approach to valuing risky zero coupon bond in a Markov regime switching economy ⋮ Option pricing under joint dynamics of interest rates, dividends, and stock prices ⋮ Insurance claims modulated by a hidden Brownian marked point process ⋮ FINITE MATURITY AMERICAN-STYLE STOCK LOANS WITH REGIME-SWITCHING VOLATILITY ⋮ Option pricing under a normal mixture distribution derived from the Markov tree model ⋮ Pricing derivatives in a regime switching market with time inhomogenous volatility ⋮ Option pricing in regime-switching frameworks with the extended Girsanov principle ⋮ Optimal hedging when the underlying asset follows a regime-switching Markov process ⋮ Risk Minimizing Option Pricing in a Regime Switching Market ⋮ Convergence of estimated option price in a regime switching market ⋮ Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method ⋮ A system of non-local parabolic PDE and application to option pricing ⋮ EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING ⋮ The pricing and hedging of an attainable claim in a hybrid Black-Scholes model under regime switching ⋮ Option Pricing in a Jump-Diffusion Model with Regime Switching ⋮ Asymptotic analysis of option pricing in a Markov modulated market ⋮ PREPAYMENT OPTION OF A PERPETUAL CORPORATE LOAN: THE IMPACT OF THE FUNDING COSTS

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Autoregressive conditional heteroskedasticity and changes in regime
• AMERICAN OPTIONS WITH REGIME SWITCHING
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Information and option pricings
• An interest rate model with a Markovian mean reverting level
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching

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