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A hidden Markov regime-switching model for option valuation · Study

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ArticleA hidden Markov regime-switching model for option valuation

Chuin Ching Liew2010

Article2010

A hidden Markov regime-switching model for option valuation

Chuin Ching Liew · Tak Kuen Siu

32 citations·0/0 files stored·Insurance Mathematics and Economics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1978Asset Prices in an Exchange Economy 2016“Options, Futures, and Other Derivatives”1979Martingales and arbitrage in multiperiod securities markets 1981Martingales and stochastic integrals in the theory of continuous trading 2003Limit Theorems for Stochastic Processes 1995THE GARCH OPTION PRICING MODEL 1990Hedging of contingent claims under incomplete information

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2008A game theoretic approach to option valuation under Markovian regime-switching modelsarticle · 16 shared references 2009Pricing Annuity Guarantees Under a Regime-Switching Modelarticle · 13 shared references 2015Pricing annuity guarantees under a double regime-switching modelarticle · 13 shared references 2009Esscher transforms and consumption-based modelsarticle · 13 shared references 2009Option pricing when the regime-switching risk is pricedarticle · 13 shared references 2008Pricing Participating Products under a Generalized Jump‐Diffusion Modelarticle · 12 shared references

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Year2010

Typearticle

Published2010-08-15

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations32

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.insmatheco.2010.08.003

openalex_workW2074150646

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