Pricing exotic options under regime switching
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Cites work
- scientific article; zbMATH DE number 4041570 (Why is no real title available?)
- scientific article; zbMATH DE number 796445 (Why is no real title available?)
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A Regime-Switching Model of Long-Term Stock Returns
- Analysis of time series subject to changes in regime
- Autoregressive conditional heteroskedasticity and changes in regime
- Information and option pricings
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Option pricing when underlying stock returns are discontinuous
- The value of an Asian option
Cited in
(87)- Option pricing and Esscher transform under regime switching
- An analytic valuation method for multivariate contingent claims with regime-switching volatilities
- An integral equation approach for pricing American put options under regime-switching model
- Iterative weak approximation and hard bounds for switching diffusion
- Good-deal bounds in a regime-switching diffusion market
- Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model
- Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
- Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
- Pricing American options under multi-states: a radial basis collocation approach
- Lookback option pricing for regime-switching jump diffusion models
- Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching
- Adaptive signal processing of asset price dynamics with predictability analysis
- Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options
- On barrier option pricing by Erlangization in a regime-switching model with jumps
- Continuous-time mean-variance portfolio selection with liability and regime switching
- scientific article; zbMATH DE number 6311401 (Why is no real title available?)
- Laplace transform methods for a free boundary problem of time-fractional partial differential equation system
- AMERICAN OPTIONS WITH REGIME SWITCHING
- First-passage times of regime switching models
- Valuing equity-linked death benefits in a regime-switching framework
- Moving mesh methods for pricing Asian options with regime switching
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- The pricing of credit default swaps under a Markov-modulated Merton's structural model
- Markowitz's mean-variance asset-liability management with regime switching: a multi-period model
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
- An exact and explicit formula for pricing lookback options with regime switching
- Valuing the guaranteed minimum death benefit clause with partial withdrawals
- Pricing exotic options under a high-order Markovian regime switching model
- A lattice method for option pricing with two underlying assets in the regime-switching model
- On a Markov chain approximation method for option pricing with regime switching
- Multivariate European option pricing in a Markov-modulated Lévy framework
- Pricing exotic options in a regime switching economy: a Fourier transform method
- A new method for option pricing via time-fractional PDE
- Optimal portfolio in a regime-switching model
- A local radial basis function method for pricing options under the regime switching model
- A spectral element method for option pricing under regime-switching with jumps
- An Empirical Investigation of CDS Spreads Using a Regime-Switching Default Risk Model
- Convergence rates of trinomial tree methods for option pricing under regime-switching models
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
- Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method
- Lattice Boltzmann methods for solving partial differential equations of exotic option pricing
- Numerical schemes for option pricing in regime-switching jump diffusion models
- Asian option as a fixed-point
- Option pricing under regime-switching models: novel approaches removing path-dependence
- Real options approach for fashionable and perishable products using stock loan with regime switching
- A generalized Esscher transform for option valuation with regime switching risk
- Pricing convertible bonds with credit risk under regime switching and numerical solutions
- A Markov-modulated model for stocks paying discrete dividends
- Option pricing in regime-switching frameworks with the extended Girsanov principle
- Mortality regimes and pricing
- On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model
- Efficient lattice method for valuing of options with barrier in a regime switching model
- Pension funding problem with regime-switching geometric Brownian motion assets and liabilities
- Mixture dynamics and regime switching diffusions with application to option pricing
- Option pricing with regime switching by trinomial tree method
- Polynomial approximation to option prices under regime switching
- Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
- Cliquet-style return guarantees in a regime switching Lévy model
- Regime-switching recombining tree for option pricing
- Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
- Finite maturity American-style stock loans with regime-switching volatility
- Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
- Pricing American options under multi-state regime switching with an efficient \(L\)-stable method
- A moment approach to bounding exotic options under regime switching
- Pricing of power options under the regime-switching model
- A correction note on: ``When the `bull' meets the `bear' -- a first passage time problem for a hidden Markov process
- A high order finite element scheme for pricing options under regime switching jump diffusion processes
- A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
- A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
- A regime-switching model with the volatility smile for two-asset European options
- COS method for option pricing under a regime-switching model with time-changed Lévy processes
- 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
- Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing
- Variance swap pricing under Markov-modulated jump-diffusion model
- Rainbow options with MS-VAR process
- Pricing Asian options of discretely monitored geometric average in the regime-switching model
- 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
- A semi-analytic valuation of American options under a two-state regime-switching economy
- Hedging options in a doubly Markov-modulated financial market via stochastic flows
- scientific article; zbMATH DE number 1897416 (Why is no real title available?)
- Hedging of contingent claims written on non traded assets under Markov-modulated models
- Convergence rates of moving mesh methods for moving boundary partial integro-differential equations from regime-switching jump-diffusion Asian option pricing
- The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market
- An exact formula for pricing American exchange options with regime switching
- Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates
- Pricing derivatives in a regime switching market with time inhomogenous volatility
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