Two-factor Markov-modulated stochastic volatility models for option pricing

DOI10.3969/J.ISSN.1001-4616.2019.04.005MaRDI QIDQ3307957zbMATH OpenFDO

Authors Xueru Liu, Meihong Li, Fan Tian, Guoxiang Liu

Publication date 12 August 2020

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-4616.2019.04.005

zbMATH Keywords

Esscher transformMarkov chain modeloption pricingregime switchingtwo-factor stochastic volatility

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Applications of continuous-time Markov processes on discrete state spaces (60J28) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(8)

• Pricing currency options under two-factor Markov-modulated stochastic volatility models
• Option valuation with a discrete-time double Markovian regime-switching model
• Option Pricing With Markov-Modulated Dynamics
• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
• Two-state volatility transition pricing and hedging of TXO options
• A hidden Markov-modulated jump diffusion model for European option pricing
• Pricing options under two-factor Markov-modulated stochastic volatility models
• The MEMMs for Markov-modulated GBMs

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