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On pricing and hedging options in regime-switching models with feedback effect
16 references·4 citing·49 second hop
On pricing and hedging options in regime-switching models with feedback effect (2011)On pricing and hedging options in regime-…Option pricing and Esscher transform under regime switching (2005)Option pricing and Esscher tr…Term Structure of Interest Rates with Regime Shifts (2002)Term Structure of Interest Ra…Short rate nonlinearities and regime switches (2002)Short rate nonlinearities and…Regime Switches in Interest Rates (2002)Regime Switches in Interest R…AMERICAN OPTIONS WITH REGIME SWITCHING (2002)AMERICAN OPTIONS WITH REGIME …A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…Information and option pricings (2001)Information and option pricin…Asset prices and central bank policy (2000)Asset prices and central bank…Testing the term structure of interest rates using a stationary vector autoregression with regime switching (1994)Testing the term structure of…Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns (1993)Option Valuation and Hedging …Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns (1990)General Equilibrium Pricing o…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market (1989)A Markov Model of Heteroskeda…Contributions to mathematical economics in honor of Gérard Debreu (1986)Contributions to mathematical…Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions (1981)Martingales, the Malliavin ca…REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING (2014)REAL OPTIONS WITH COMPETITION…OPTIMAL INVESTMENT FOR A DEFINED-CONTRIBUTION PENSION SCHEME UNDER A REGIME SWITCHING MODEL (2014)OPTIMAL INVESTMENT FOR A DEFI…A lattice method for option pricing with two underlying assets in the regime-switching model (2013)A lattice method for option p…Regime-Switching Risk: To Price or Not to Price? 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(2012)Rational-expectations econometric analysis of changes in regime (1988)International Asset Allocation With Regime Shifts (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Stock Return Predictability: Is it There? (2006)
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
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 2002Regime Switches in Interest Rates854 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 1989A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market647 cited
  • 2000Asset prices and central bank policy584 cited
  • 2002AMERICAN OPTIONS WITH REGIME SWITCHING506 cited
  • 2002Term Structure of Interest Rates with Regime Shifts456 cited
  • 2005Option pricing and Esscher transform under regime switching419 cited
  • 1990General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns393 cited
  • 2001Information and option pricings273 cited
  • 1981Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions270 cited
  • 1993Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns208 cited
  • 2002Short rate nonlinearities and regime switches185 cited
  • 1986Contributions to mathematical economics in honor of Gérard Debreu161 cited

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  • 1994Testing the term structure of interest rates using a stationary vector autoregression with regime switching134 cited
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    • 2014OPTIMAL INVESTMENT FOR A DEFINED-CONTRIBUTION PENSION SCHEME UNDER A REGIME SWITCHING MODEL28 cited
    • 2013A lattice method for option pricing with two underlying assets in the regime-switching model26 cited
    • 2011Regime-Switching Risk: To Price or Not to Price?24 cited
    • 2014REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING23 cited