Article2006

A simple approach for pricing equity options with Markov switching state variables

D. Aingworth · Sanjiv Ranjan Das · Rajeev Motwani

51 citations0/0 files storedQuantitative Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Capital Investment and Risk Analysis

Abstract

The pricing of American options on stocks was rendered computable by the work of Cox et al. (1979) (CRR) and the ensuing work of Jarrow and Rudd (1983). They developed a convergent option pricing s...

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1979Option pricing: A simplified approach 1987The Pricing of Options on Assets with Stochastic Volatilities 1979Martingales and arbitrage in multiperiod securities markets 2001Valuing American Options by Simulation: A Simple Least-Squares Approach

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2010Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method 2009Option Pricing in a Jump-Diffusion Model with Regime Switching 2012Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes 2012A new tree method for pricing financial derivatives in a regime-switching mean-reverting model 2013A lattice method for option pricing with two underlying assets in the regime-switching model

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