SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Option Valuation Under a Double Regime‐Switching Model
16 references·3 citing·42 second hop
Option Valuation Under a Double Regime‐Switching Model (2013)Option Valuation Under a Double Regime‐Sw…Option pricing with regime switching by trinomial tree method (2009)Option pricing with regime sw…Pricing exotic options under regime switching (2006)Pricing exotic options under …Option pricing in a regime‐switching model using the fast Fourier transform (2006)Option pricing in a regime‐sw…Option pricing and Esscher transform under regime switching (2005)Option pricing and Esscher tr…Mathematics of Financial Markets (2005)Mathematics of Financial Mark…Option pricing by transform methods: extensions, unification and error control (2004)Option pricing by transform m…The cumulant process and Esscher's change of measure (2002)The cumulant process and Essc…AMERICAN OPTIONS WITH REGIME SWITCHING (2002)AMERICAN OPTIONS WITH REGIME …Information and option pricings (2001)Information and option pricin…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns (1993)Option Valuation and Hedging …Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns (1993)Option Valuation and Hedging …A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…A stochastic calculus model of continuous trading: Complete markets (1983)A stochastic calculus model o…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm (2022)Two-factor Heston model equip…A switching self-exciting jump diffusion process for stock prices (2018)A switching self-exciting jum…Pricing foreign equity options with regime-switching (2013)Pricing foreign equity option…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Efficient Analytic Approximation of American Option Values (1987)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Closed-Form Solutions for Perpetual American Put Options with Regime Switching (2004)Limit Theorems for Stochastic Processes (1987)Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Brownian Motion (1999)A complete explicit solution to the log-optimal portfolio problem (2003)Variance-optimal hedging for processes with stationary independent increments (2006)Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps (2009)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)Calcul Stochastique et Problèmes de Martingales (1979)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns (1990)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Option pricing: A simplified approach (1979)Continuous Auctions and Insider Trading (1985)An explicit solution to an optimal stopping problem with regime switching (2001)The Skorokhod embedding problem and its offspring (2004)Empirical Performance of Alternative Option Pricing Models (1997)A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes (2008)PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (2008)On the Heston Model with Stochastic Interest Rates (2011)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (2007)Markowitz’s mean-variance asset-liability management with regime switching: A continuous-time model (2008)Real option valuation in renewable energy literature: Research focus, trends and design (2017)
this work references cited by second hop

References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2002AMERICAN OPTIONS WITH REGIME SWITCHING506 cited
  • 1983A stochastic calculus model of continuous trading: Complete markets431 cited
  • 2005Option pricing and Esscher transform under regime switching419 cited
  • 2004Option pricing by transform methods: extensions, unification and error control328 cited
  • 2002The cumulant process and Esscher's change of measure280 cited
  • 2001Information and option pricings273 cited
  • 1993Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns241 cited
  • 1993Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns208 cited
  • 2006Pricing exotic options under regime switching134 cited
  • 2005Mathematics of Financial Markets120 cited
  • 2009Option pricing with regime switching by trinomial tree method118 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2006Option pricing in a regime‐switching model using the fast Fourier transform77 cited
  • Cited by

    • 2013Pricing foreign equity options with regime-switching30 cited
    • 2022Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm26 cited
    • 2018A switching self-exciting jump diffusion process for stock prices26 cited