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AMERICAN OPTIONS WITH REGIME SWITCHING
1 references·16 citing·41 second hopsampled
AMERICAN OPTIONS WITH REGIME SWITCHING (2002)AMERICAN OPTIONS WITH REGIME SWITCHINGEfficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (2017)A general framework for discr…Optimal dividend distribution under Markov regime switching (2012)Optimal dividend distribution…Option pricing with regime switching by trinomial tree method (2009)Option pricing with regime sw…NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING (2009)NEW NUMERICAL SCHEME FOR PRIC…EXPLICIT SOLUTIONS OF CONSUMPTION‐INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING (2009)EXPLICIT SOLUTIONS OF CONSUMP…On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy (2008)On risk minimizing portfolios…Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (2007)Pricing Volatility Swaps Unde…Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model (2007)Pricing Options Under a Gener…Option Pricing With Markov-Modulated Dynamics (2006)Option Pricing With Markov-Mo…Option Pricing for Pure Jump Processes with Markov Switching Compensators (2006)Option Pricing for Pure Jump …A Regime-Switching Model for European Options (2006)A Regime-Switching Model for …Option pricing and Esscher transform under regime switching (2005)Option pricing and Esscher tr…Fair valuation of participating policies with surrender options and regime switching (2005)Fair valuation of participati…Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits (2004)Markowitz's Mean-Variance Por…Closed-Form Solutions for Perpetual American Put Options with Regime Switching (2004)Closed-Form Solutions for Per…Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Markowitz's Mean-Variance Por…Option pricing when underlying stock returns are discontinuous (1976)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Option pricing in a regime‐switching model using the fast Fourier transform (2006)Methods for Pricing American Options under Regime Switching (2011)“Options, Futures, and Other Derivatives” (2016)Portfolio Selection: Efficient Diversification of Investments (1959)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)Controlled Markov Processes and Viscosity Solutions (2005)A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance (2017)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Expected stock returns and volatility (1987)Asymmetric effects of investor sentiment on industry stock returns: Panel data evidence (2012)A class of non-zero-sum stochastic differential investment and reinsurance games (2014)Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model (2015)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Integer-valued Lévy processes and low latency financial econometrics (2012)Option pricing under regime-switching jump–diffusion models (2013)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2012)STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS (2012)The Pricing of Options on Assets with Stochastic Volatilities (1987)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)On perpetual American put valuation and first-passage in a regime-switching model with jumps (2008)The Aggregate Dynamics of Capital Structure and Macroeconomic Risk (2008)Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads (2012)The Crash of ʼ87: Was It Expected? 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References

  • 1987Efficient Analytic Approximation of American Option Values1,128 cited

Cited by

  • 2003Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model507 cited
  • 2005Option pricing and Esscher transform under regime switching419 cited
  • 2004Closed-Form Solutions for Perpetual American Put Options with Regime Switching228 cited
  • 2004Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits226 cited
  • 2009EXPLICIT SOLUTIONS OF CONSUMPTION‐INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING144 cited
  • 2006Option Pricing With Markov-Modulated Dynamics132 cited
  • 2006A Regime-Switching Model for European Options131 cited
  • 2007Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching128 cited
  • 2009Option pricing with regime switching by trinomial tree method118 cited
  • 2006Option Pricing for Pure Jump Processes with Markov Switching Compensators114 cited
  • 2007Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model107 cited
  • 2017A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps102 cited
  • 2005Fair valuation of participating policies with surrender options and regime switching

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100 cited
  • 2008On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy94 cited
  • 2012Optimal dividend distribution under Markov regime switching88 cited
  • 2009NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING85 cited