Pricing exotic options under regime switching

DOI10.1016/J.INSMATHECO.2006.05.001zbMATH Open1141.91420OpenAlexW2095201842MaRDI QIDQ995503FDOQ995503

Thangaraj Draviam, Phelim Boyle

Publication date: 3 September 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.05.001

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zbMATH Keywords

regime switchingAsian optionslookback options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Autoregressive conditional heteroskedasticity and changes in regime
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• The value of an Asian option
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Option pricing when underlying stock returns are discontinuous
• Information and option pricings
• Analysis of time series subject to changes in regime
• A Regime-Switching Model of Long-Term Stock Returns
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Cited In (81)

• Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method
• First-passage times of regime switching models
• Valuing the guaranteed minimum death benefit clause with partial withdrawals
• Lattice Boltzmann methods for solving partial differential equations of exotic option pricing
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• Cliquet-style return guarantees in a regime switching Lévy model
• A new method for option pricing via time-fractional PDE
• Pricing exotic options in a regime switching economy: a Fourier transform method
• Mixture dynamics and regime switching diffusions with application to option pricing
• A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
• Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching
• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
• Regime-switching recombining tree for option pricing
• Iterative weak approximation and hard bounds for switching diffusion
• Adaptive signal processing of asset price dynamics with predictability analysis
• Option pricing in regime-switching frameworks with the extended Girsanov principle
• A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
• Option pricing and Esscher transform under regime switching
• VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK
• Pricing exotic options under a high-order Markovian regime switching model
• The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model
• A local radial basis function method for pricing options under the regime switching model
• Mortality Regimes and Pricing
• Multivariate European option pricing in a Markov-modulated Lévy framework
• Pension funding problem with regime‐switching geometric Brownian motion assets and liabilities
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• Laplace transform methods for a free boundary problem of time-fractional partial differential equation system
• An exact and explicit formula for pricing lookback options with regime switching
• Asian option as a fixed-point
• Efficient lattice method for valuing of options with barrier in a regime switching model
• Convergence rates of trinomial tree methods for option pricing under regime-switching models
• A moment approach to bounding exotic options under regime switching
• On barrier option pricing by Erlangization in a regime-switching model with jumps
• NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS
• A lattice method for option pricing with two underlying assets in the regime-switching model
• On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model
• Polynomial Approximation to Option Prices under Regime Switching
• A spectral element method for option pricing under regime-switching with jumps
• Option pricing with regime switching by trinomial tree method
• Pricing convertible bonds with credit risk under regime switching and numerical solutions
• Lookback option pricing for regime-switching jump diffusion models
• On a Markov chain approximation method for option pricing with regime switching
• FINITE MATURITY AMERICAN-STYLE STOCK LOANS WITH REGIME-SWITCHING VOLATILITY
• Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
• An analytic valuation method for multivariate contingent claims with regime-switching volatilities
• Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
• Continuous-time mean-variance portfolio selection with liability and regime switching
• A correction note on: ``When the `bull' meets the `bear' -- a first passage time problem for a hidden Markov process
• An integral equation approach for pricing American put options under regime-switching model
• Moving mesh methods for pricing Asian options with regime switching
• Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
• The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market
• Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
• Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model
• A generalized Esscher transform for option valuation with regime switching risk
• Pricing American options under multi-state regime switching with an efficientL- stable method
• Real options approach for fashionable and perishable products using stock loan with regime switching
• A Markov-modulated model for stocks paying discrete dividends
• Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
• Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
• Optimal Portfolio in a Regime-switching Model
• A high order finite element scheme for pricing options under regime switching jump diffusion processes
• FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS
• COS method for option pricing under a regime-switching model with time-changed Lévy processes
• An Empirical Investigation of CDS Spreads Using a Regime-Switching Default Risk Model
• Pricing American options under multi-states: a radial basis collocation approach
• Option pricing under regime-switching models: novel approaches removing path-dependence
• Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
• European option pricing with market frictions, regime switches and model uncertainty
• Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models
• A semi-analytic valuation of American options under a two-state regime-switching economy
• Convergence rates of moving mesh methods for moving boundary partial integro-differential equations from regime-switching jump-diffusion Asian option pricing
• Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates
• Variance swap pricing under Markov-modulated jump-diffusion model
• Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing
• Hedging of contingent claims written on non traded assets under Markov-modulated models
• Pricing derivatives in a regime switching market with time inhomogenous volatility
• L^∞-norm convergence rates of an IMEX scheme for solving a partial integro-differential equation system arising from regime-switching jump-diffusion Asian option pricing
• HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS

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