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A hidden Markov regime-switching model for option valuation
16 references·1 citing·38 second hop
A hidden Markov regime-switching model for option valuation (2010)A hidden Markov regime-switching model fo…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Options, futures and other derivatives (2008)Options, futures and other de…Option pricing and Esscher transform under regime switching (2005)Option pricing and Esscher tr…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Mathematics of Derivative Securities (1998)Mathematics of Derivative Sec…Introduction to Mathematical Finance: Discrete Time Models (1997)Introduction to Mathematical …THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELOption pricing by Esscher transforms. (1995)Option pricing by Esscher tra…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Optimal replication of contingent claims under transaction costs (1989)Optimal replication of contin…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Hedging of non-redundant contingent claims (1985)Hedging of non-redundant cont…A stochastic calculus model of continuous trading: Complete markets (1983)A stochastic calculus model o…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Option pricing under regime-switching models: Novel approaches removing path-dependence (2019)Option pricing under regime-s…The Pricing of Options and Corporate Liabilities (1973)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Monte Carlo methods for security pricing (1997)A Closed-Form GARCH Option Valuation Model (2000)Stochastic Volatility for Lévy Processes (2003)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)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)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)Option pricing when underlying stock returns are discontinuous (1976)Option pricing: A simplified approach (1979)On the Time Value of Ruin (1998)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Risk-Neutral Pricing Approach for Evaluating BOT Highway Projects with Government Minimum Revenue Guarantee Options (2011)PAMR: Passive aggressive mean reversion strategy for portfolio selection (2012)Financial distress, outside directors and corporate tax aggressiveness spanning the global financial crisis: An empirical analysis (2014)A Guided Tour through Quadratic Hedging Approaches (2010)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)
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References

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  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
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  • 1989Optimal replication of contingent claims under transaction costs605 cited
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  • 1983A stochastic calculus model of continuous trading: Complete markets431 cited
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  • 2005Option pricing and Esscher transform under regime switching419 cited
  • 1998Mathematics of Derivative Securities

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  • 2019Option pricing under regime-switching models: Novel approaches removing path-dependence20 cited