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Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets
16 references·1 citing·33 second hop
Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets (2007)Pricing Options and Variance Swaps in Mar…Theory of rational option pricing (2005)Theory of rational option pri…Option pricing and Esscher transform under regime switching (2005)Option pricing and Esscher tr…FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)FRACTIONAL WHITE NOISE CALCUL…Mathematics of Financial Markets (1999)Mathematics of Financial Mark…Martingale Methods in Financial Modelling (1997)Martingale Methods in Financi…Arbitrage with Fractional Brownian Motion (1997)Arbitrage with Fractional Bro…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Rational-expectations econometric analysis of changes in regime (1988)Rational-expectations econome…Stochastic Calculus and Applications. (1986)Stochastic Calculus and Appli…STOCHASTIC CALCULUS AND APPLICATIONS (1983)STOCHASTIC CALCULUS AND APPLI…Introduction to Stochastic Integration (1983)Introduction to Stochastic In…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…The valuation of options for alternative stochastic processes (1976)The valuation of options for …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Pricing bond options under a Markovian regime-switching Hull–White model (2012)Pricing bond options under a …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Why Does Stock Market Volatility Change Over Time? (1989)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Forecasting Volatility in Financial Markets: A Review (2003)Modelling Extremal Events (1997)Term Structure Dynamics in Theory and Reality (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Stochastic Integration and Differential Equations (2005)Financial distress and corporate risk management: Theory and evidence (2008)Numerical solution of stochastic differential equations (2016)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Martingales and arbitrage in multiperiod securities markets (1979)A Guided Tour through Quadratic Hedging Approaches (2010)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns (1990)Pricing the risks of default (1998)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 1997Martingale Methods in Financial Modelling1,085 cited
  • 1988Rational-expectations econometric analysis of changes in regime898 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 1986Stochastic Calculus and Applications.673 cited
  • 1997Arbitrage with Fractional Brownian Motion590 cited
  • 1983STOCHASTIC CALCULUS AND APPLICATIONS480 cited
  • 2003FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE476 cited
  • 1983Introduction to Stochastic Integration454 cited
  • 2005Option pricing and Esscher transform under regime switching419 cited
  • 1999Mathematics of Financial Markets

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338 cited

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  • 2012Pricing bond options under a Markovian regime-switching Hull–White model28 cited