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A new exact solution for pricing European options in a two-state regime-switching economy
14 references·1 citing·39 second hop
A new exact solution for pricing European options in a two-state regime-switching economy (2012)A new exact solution for pricing European…Regime Switching and European Options (2007)Regime Switching and European…A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS (2006)A NEW ANALYTICAL APPROXIMATIO…Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Do Stock Prices and Volatilit…Alternative models for stock price dynamics (2003)Alternative models for stock …AMERICAN OPTIONS WITH REGIME SWITCHING (2002)AMERICAN OPTIONS WITH REGIME …Information and option pricings (2001)Information and option pricin…Valuing Options in Regime-Switching Models (1998)Valuing Options in Regime-Swi…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…Mean-Variance Hedging of Options on Stocks with Markov Volatilities (1995)Mean-Variance Hedging of Opti…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 Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…How should a local regime-switching model be calibrated? (2017)How should a local regime-swi…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)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)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)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)An Empirical Investigation of Continuous‐Time Equity Return Models (2002)The Relative Contribution of Jumps to Total Price Variance (2005)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Numerical solution of stochastic differential equations (2016)Option pricing when underlying stock returns are discontinuous (1976)Option pricing: A simplified approach (1979)Maximum likelihood estimation of the double exponential jump-diffusion process (2006)Option pricing with regime switching by trinomial tree method (2009)A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance (2012)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)The Pricing of Options on Assets with Stochastic Volatilities (1987)Tails, Fears, and Risk Premia (2011)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2016)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)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)The Impact of Jumps in Volatility and Returns (2003)
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
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 2004Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices1,116 cited
  • 2003Alternative models for stock price dynamics893 cited
  • 2002AMERICAN OPTIONS WITH REGIME SWITCHING506 cited
  • 2001Information and option pricings273 cited
  • 1993Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns241 cited
  • 1998Valuing Options in Regime-Switching Models231 cited
  • 1993Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns208 cited
  • 1995Mean-Variance Hedging of Options on Stocks with Markov Volatilities196 cited
  • 2007Regime Switching and European Options89 cited
  • 2006A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS69 cited

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2017
How should a local regime-switching model be calibrated?
36 cited