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Option pricing when the regime-switching risk is priced · Study

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ArticleOption pricing when the regime-switching risk is priced

Tak Kuen Siu2009

Article2009

Option pricing when the regime-switching risk is priced

Tak Kuen Siu · Hailiang Yang

23 citations·0/0 files stored·Acta Mathematicae Applicatae Sinica English Series

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Stochastic processes and financial applications Financial Markets and Investment Strategies Probability and Risk Models

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References

1973The Pricing of Options and Corporate Liabilities 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1976Option pricing when underlying stock returns are discontinuous 1987The Pricing of Options on Assets with Stochastic Volatilities 1979Martingales and arbitrage in multiperiod securities markets 1981Martingales and stochastic integrals in the theory of continuous trading

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2008A game theoretic approach to option valuation under Markovian regime-switching modelsarticle · 28 shared references 2007A PDE approach for risk measures for derivatives with regime switchingarticle · 15 shared references 2007Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Modelarticle · 14 shared references 2008Pricing currency options under two-factor Markov-modulated stochastic volatility modelsarticle · 14 shared references 2012Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processesarticle · 14 shared references 2008The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Modelarticle · 14 shared references

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Year2009

Typearticle

Published2009-05-28

VenueActa Mathematicae Applicatae Sinica English Series

ISSN-L0168-9673

Languageen

Citations23

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s10255-008-8803-5

openalex_workW2033070835

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