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A simple approach for pricing equity options with Markov switching state variables
16 references·9 citing·19 second hop
A simple approach for pricing equity options with Markov switching state variables (2006)A simple approach for pricing equity opti…Theory of rational option pricing (2005)Theory of rational option pri…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Of Smiles and Smirks: A Term Structure Perspective (1999)Of Smiles and Smirks: A Term …Valuing Options in Regime-Switching Models (1998)Valuing Options in Regime-Swi…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…Jump Diffusion Option Valuation in Discrete Time (1993)Jump Diffusion Option Valuati…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Options, Futures, and Other Derivative Securities. (1990)Options, Futures, and Other D…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Option pricing: A simplified approach (1979)Option pricing: A simplified …Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The valuation of options for alternative stochastic processes (1976)The valuation of options for …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Convergence rates of trinomial tree methods for option pricing under regime-switching models (2014)Convergence rates of trinomia…A lattice method for option pricing with two underlying assets in the regime-switching model (2013)A lattice method for option p…Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes (2012)Solving complex PDE systems f…Option pricing under a normal mixture distribution derived from the Markov tree model (2012)Option pricing under a normal…A new tree method for pricing financial derivatives in a regime-switching mean-reverting model (2012)A new tree method for pricing…Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method (2010)Pricing Asian Options and Equ…Efficiently pricing barrier options in a Markov-switching framework (2010)Efficiently pricing barrier o…Option Pricing in a Jump-Diffusion Model with Regime Switching (2009)Option Pricing in a Jump-Diff…Detecting Switching Strategies in Equity Hedge Funds Returns (2005)Detecting Switching Strategie…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Good News and Bad News: Representation Theorems and Applications (1981)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Regression methods for pricing complex American-style options (2001)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1990Options, Futures, and Other Derivative Securities.1,227 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1999Of Smiles and Smirks: A Term Structure Perspective371 cited
  • 1993Jump Diffusion Option Valuation in Discrete Time320 cited

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  • 1998Valuing Options in Regime-Switching Models231 cited
  • Cited by

    • 2010Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method40 cited
    • 2009Option Pricing in a Jump-Diffusion Model with Regime Switching37 cited
    • 2012Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes29 cited
    • 2012A new tree method for pricing financial derivatives in a regime-switching mean-reverting model28 cited
    • 2013A lattice method for option pricing with two underlying assets in the regime-switching model26 cited
    • 2014Convergence rates of trinomial tree methods for option pricing under regime-switching models25 cited
    • 2010Efficiently pricing barrier options in a Markov-switching framework20 cited
    • 2012Option pricing under a normal mixture distribution derived from the Markov tree model20 cited
    • 2005Detecting Switching Strategies in Equity Hedge Funds Returns20 cited