Pages that link to "Item:Q3427488"

The following pages link to Option Pricing With Markov-Modulated Dynamics (Q3427488):

Displaying 46 items.

• Valuation of the prepayment option of a perpetual corporate loan (Q370357) (← links)
• Limit theorems for stationary Markov processes with \(L^{2}\)-spectral gap (Q424699) (← links)
• A correction note on: ``When the `bull' meets the `bear' -- a first passage time problem for a hidden Markov process'' (Q479189) (← links)
• Probability law and flow function of Brownian motion driven by a generalized telegraph process (Q496968) (← links)
• Mixture dynamics and regime switching diffusions with application to option pricing (Q539521) (← links)
• Exponential change of measure applied to term structures of interest rates and exchange rates (Q634008) (← links)
• Markov-modulated jump-diffusions for currency option pricing (Q659253) (← links)
• Pricing and hedging defaultable participating contracts with regime switching and jump risk (Q777938) (← links)
• On stability of the Markov-modulated skew CIR process (Q899651) (← links)
• Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions (Q903027) (← links)
• Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching (Q937465) (← links)
• First passage of time-reversible spectrally negative Markov additive processes (Q969502) (← links)
• Option pricing model based on a Markov-modulated diffusion with jumps (Q985996) (← links)
• On perpetual American put valuation and first-passage in a regime-switching model with jumps (Q1003346) (← links)
• Asymptotic analysis of option pricing in a Markov modulated market (Q1043251) (← links)
• Option pricing in a regime switching stochastic volatility model (Q1642260) (← links)
• Portfolio selection with jumps under regime switching (Q1958452) (← links)
• An explicit analytic formula for pricing barrier options with regime switching (Q2018548) (← links)
• Continuous-time mean-variance portfolio selection with regime-switching financial market: time-consistent solution (Q2022311) (← links)
• Structural pricing of CoCos and deposit insurance with regime switching and jumps (Q2036863) (← links)
• Option pricing in regime-switching frameworks with the extended Girsanov principle (Q2038228) (← links)
• Computation of powered option prices under a general model for underlying asset dynamics (Q2074891) (← links)
• Strong convergence rate of the stochastic theta method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments (Q2099521) (← links)
• Asymptotic behavior analysis of Markovian switching neutral-type stochastic time-delay systems (Q2243199) (← links)
• First-passage times of regime switching models (Q2251701) (← links)
• Option pricing under regime-switching models: novel approaches removing path-dependence (Q2421406) (← links)
• On the default probability in a regime-switching regulated market (Q2445481) (← links)
• Weak convergence of Markov-modulated diffusion processes with rapid switching (Q2452781) (← links)
• Preserving exponential mean-square stability in the simulation of hybrid stochastic differential equations (Q2465405) (← links)
• Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations (Q2469616) (← links)
• Monotonicity of the value function for a two-dimensional optimal stopping problem (Q2511558) (← links)
• Convergence of estimated option price in a regime switching market (Q2520133) (← links)
• Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model (Q2691262) (← links)
• A system of non-local parabolic PDE and application to option pricing (Q2821911) (← links)
• PREPAYMENT OPTION OF A PERPETUAL CORPORATE LOAN: THE IMPACT OF THE FUNDING COSTS (Q2874734) (← links)
• Double Telegraph Processes and Complete Market Models (Q2875516) (← links)
• A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options (Q3064014) (← links)
• First Passage of a Markov Additive Process and Generalized Jordan Chains (Q3067845) (← links)
• FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS (Q3166714) (← links)
• Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market (Q3168704) (← links)
• Equity with Markov-modulated dividends (Q3182645) (← links)
• Optimal stopping games in models with various information flows (Q3383685) (← links)
• Regime Classification and Stock Loan Valuation (Q3387947) (← links)
• EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING (Q3393971) (← links)
• Discounted Optimal Stopping Problems for Maxima of Geometric Brownian Motions With Switching Payoffs (Q5022285) (← links)
• Inference of binary regime models with jump discontinuities (Q6108879) (← links)