Pages that link to "Item:Q3592749"

The following pages link to Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model (Q3592749):

Displaying 50 items.

• A self-exciting threshold jump-diffusion model for option valuation (Q343990) (← links)
• Pricing options with credit risk in Markovian regime-switching markets (Q364454) (← links)
• Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility (Q451153) (← links)
• Probability law and flow function of Brownian motion driven by a generalized telegraph process (Q496968) (← links)
• Computing American option price under regime switching with rationality parameter (Q520865) (← links)
• On pricing and hedging options in regime-switching models with feedback effect (Q633323) (← links)
• Exponential change of measure applied to term structures of interest rates and exchange rates (Q634008) (← links)
• Utility-based indifference pricing in regime-switching models (Q640157) (← links)
• Markov-modulated jump-diffusions for currency option pricing (Q659253) (← links)
• A game theoretic approach to option valuation under Markovian regime-switching models (Q931215) (← links)
• Option pricing when the regime-switching risk is priced (Q1036916) (← links)
• Market-making strategy with asymmetric information and regime-switching (Q1657343) (← links)
• Valuation and hedging strategy of currency options under regime-switching jump-diffusion model (Q1690559) (← links)
• The second Kummer function with matrix parameters and its asymptotic behaviour (Q1728538) (← links)
• Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions (Q1955374) (← links)
• A switching self-exciting jump diffusion process for stock prices (Q2000696) (← links)
• A new efficient numerical method for solving American option under regime switching model (Q2006602) (← links)
• Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models (Q2006622) (← links)
• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (Q2022921) (← 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)
• What is beneath the surface? Option pricing with multifrequency latent states (Q2347726) (← links)
• Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model (Q2356875) (← links)
• Option pricing under regime-switching models: novel approaches removing path-dependence (Q2421406) (← links)
• Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales (Q2423287) (← links)
• On the default probability in a regime-switching regulated market (Q2445481) (← links)
• Pricing currency derivatives with Markov-modulated Lévy dynamics (Q2513442) (← links)
• Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model (Q2514669) (← links)
• Optimal credit investment and risk control for an insurer with regime-switching (Q2633456) (← links)
• A tree approach to options pricing under regime-switching jump diffusion models (Q2804506) (← links)
• PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL (Q2842530) (← links)
• A risk-based approach for pricing American options under a generalized Markov regime-switching model (Q2866377) (← links)
• Pricing Defaultable Bonds in a Markov Modulated Market (Q2893288) (← links)
• Risk-minimizing pricing and hedging foreign currency options under regime-switching jump-diffusion models (Q2979963) (← links)
• Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model (Q3064081) (← links)
• Option Pricing Driven by a Telegraph Process with Random Jumps (Q3165498) (← links)
• Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes (Q3176516) (← links)
• Pricing Equity-indexed Annuities When Discrete Dividends Follow a Markov-Modulated Jump Diffusion Model (Q3462361) (← links)
• Option Pricing in a Jump-Diffusion Model with Regime Switching (Q3653509) (← links)
• A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing (Q4562481) (← links)
• Pricing participating policies under the Meixner process and stochastic volatility (Q4577195) (← links)
• Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing (Q4585900) (← links)
• Regime-switching stochastic volatility model: estimation and calibration to VIX options (Q4610208) (← links)
• Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion (Q5001154) (← links)
• An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models (Q5031851) (← links)
• LOCALLY RISK-MINIMIZING HEDGING FOR EUROPEAN CONTINGENT CLAIMS WRITTEN ON NON-TRADABLE ASSETS WITH COMMON JUMP RISK (Q5051211) (← links)
• Option pricing based on a regime switching dividend process (Q5078079) (← links)
• A generalized Esscher transform for option valuation with regime switching risk (Q5079361) (← links)
• NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS (Q5411742) (← links)
• COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH MARKOV-MODULATED VOLATILITIES (Q5411990) (← links)