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REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING
16 references·5 citing·36 second hop
REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING (2010)REGIME-SWITCHING RECOMBINING TREE FOR OPT…NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING (2009)NEW NUMERICAL SCHEME FOR PRIC…Hybrid Switching Diffusions (2009)Hybrid Switching DiffusionsPricing exotic options under regime switching (2006)Pricing exotic options under …A Regime-Switching Model for European Options (2006)A Regime-Switching Model for …Martingale Methods in Financial Modelling (2005)Martingale Methods in Financi…Closed-Form Solutions for Perpetual American Put Options with Regime Switching (2004)Closed-Form Solutions for Per…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…AMERICAN OPTIONS WITH REGIME SWITCHING (2002)AMERICAN OPTIONS WITH REGIME …Information and option pricings (2001)Information and option pricin…A Regime-Switching Model of Long-Term Stock Returns (2001)A Regime-Switching Model of L…On the Rate of Convergence of Discrete‐Time Contingent Claims (2000)On the Rate of Convergence of…Valuing Options in Regime-Switching Models (1998)Valuing Options in Regime-Swi…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Simple Binomial Processes as Diffusion Approximations in Financial Models (1990)Simple Binomial Processes as …Convergence from Discrete- to Continuous-Time Contingent Claims Prices (1990)Convergence from Discrete- to…Option pricing: A simplified approach (1979)Option pricing: A simplified …Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing (2019)Continuous-Time Markov Chain …A new efficient numerical method for solving American option under regime switching model (2015)A new efficient numerical met…Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes (2012)Solving complex PDE systems f…FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS (2012)FOURIER TRANSFORM METHODS FOR…A new tree method for pricing financial derivatives in a regime-switching mean-reverting model (2012)A new tree method for pricing…Efficient Analytic Approximation of American Option Values (1987)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Option pricing and Esscher transform under regime switching (2005)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)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)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Theory of rational option pricing (2005)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Investment guarantees : modeling and risk management for equity-linked life insurance (2003)Online portfolio selection (2014)Arbitrage Theory in Continuous Time (1998)Facts and Fantasies about Commodity Futures (2006)A critical review on supply chain risk – Definition, measure and modeling (2014)Jump Diffusion Option Valuation in Discrete Time (1993)A Simple Nonparametric Approach to Derivative Security Valuation (1996)Challenges to the practical implementation of modeling and valuing real options (1998)Real Options and Product Life Cycles (1999)Flexible contracts to cope with uncertainty in public–private partnerships (2012)Optimal design of feed-in-tariffs to stimulate renewable energy investments under regulatory uncertainty — A real options analysis (2014)Positive recurrence of piecewise Ornstein–Uhlenbeck processes and common quadratic Lyapunov functions (2013)Feynman–Kac formulas for regime-switching jump diffusions and their applications (2015)Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems (2020)Exponential-Polynomial Families and the Term Structure of Interest Rates (2000)Modelling microstructure noise with mutually exciting point processes (2012)Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty (2021)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 2002AMERICAN OPTIONS WITH REGIME SWITCHING506 cited
  • 2001A Regime-Switching Model of Long-Term Stock Returns436 cited
  • 2009Hybrid Switching Diffusions434 cited
  • 1990Simple Binomial Processes as Diffusion Approximations in Financial Models379 cited
  • 2005Martingale Methods in Financial Modelling335 cited
  • 2001Information and option pricings273 cited
  • 1998Valuing Options in Regime-Switching Models231 cited
  • 2004Closed-Form Solutions for Perpetual American Put Options with Regime Switching228 cited
  • 1990Convergence from Discrete- to Continuous-Time Contingent Claims Prices169 cited
  • 2000On the Rate of Convergence of Discrete‐Time Contingent Claims163 cited
  • 2006Pricing exotic options under regime switching134 cited
  • 2006A Regime-Switching Model for European Options131 cited
  • 2009NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING

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Cited by

  • 2012FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS41 cited
  • 2015A new efficient numerical method for solving American option under regime switching model32 cited
  • 2012Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes29 cited
  • 2019Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing28 cited
  • 2012A new tree method for pricing financial derivatives in a regime-switching mean-reverting model28 cited