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A lattice method for option pricing with two underlying assets in the regime-switching model
16 references·1 citing·43 second hop
A lattice method for option pricing with two underlying assets in the regime-switching model (2013)A lattice method for option pricing with …Hybrid Switching Diffusions: Properties and Applications (2010)Hybrid Switching Diffusions: …Option pricing and Esscher transform under regime switching (2005)Option pricing and Esscher tr…Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Markowitz's Mean-Variance Por…Term Structure of Interest Rates with Regime Shifts (2002)Term Structure of Interest Ra…Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)Electricity Prices and Power …AMERICAN OPTIONS WITH REGIME SWITCHING (2002)AMERICAN OPTIONS WITH REGIME …Stock Trading: An Optimal Selling Rule (2001)Stock Trading: An Optimal Sel…Information and option pricings (2001)Information and option pricin…A Regime-Switching Model of Long-Term Stock Returns (2001)A Regime-Switching Model of L…Energy derivatives : pricing and risk management (2000)Energy derivatives : pricing …Valuing Options in Regime-Switching Models (1998)Valuing Options in Regime-Swi…Simple Binomial Processes as Diffusion Approximations in Financial Models (1990)Simple Binomial Processes as …Numerical Evaluation of Multivariate Contingent Claims (1989)Numerical Evaluation of Multi…A Lattice Framework for Option Pricing with Two State Variables (1988)A Lattice Framework for Optio…Options on the minimum or the maximum of two risky assets (1982)Options on the minimum or the…Option pricing: A simplified approach (1979)Option pricing: A simplified …Convergence rates of trinomial tree methods for option pricing under regime-switching models (2014)Convergence rates of trinomia…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Determinants of corporate borrowing (1977)The Nature of Option Interactions and the Valuation of Investments with Multiple Real Options (1993)Non‐additivity in portfolios of exploration activities: a real options‐based analysis of equity alliances in biotechnology (2004)Efficient Analytic Approximation of American Option Values (1987)Closed-Form Solutions for Perpetual American Put Options with Regime Switching (2004)Portfolio Selection: Efficient Diversification of Investments (1959)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits (2004)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)Controlled Markov Processes and Viscosity Solutions (2005)A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance (2017)The valuation of options for alternative stochastic processes (1976)Martingales and arbitrage in multiperiod securities markets (1979)Pricing Interest-Rate-Derivative Securities (1990)Understanding the Fine Structure of Electricity Prices* (2006)Renewable energy investments under different support schemes: A real options approach (2012)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (2007)Markowitz’s mean-variance asset-liability management with regime switching: A continuous-time model (2008)Real option valuation in renewable energy literature: Research focus, trends and design (2017)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Term Structure Dynamics in Theory and Reality (2003)Affine Term Structure Models (2010)Regime Changes and Financial Markets (2012)The American Put Option Valued Analytically (1984)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options with Default Risk (1987)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Investment guarantees : modeling and risk management for equity-linked life insurance (2003)Online portfolio selection (2014)Pricing and Hedging Spread Options (2003)Regime jumps in electricity prices (2003)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)
this work references cited by second hop

References

  • 1979Option pricing: A simplified approach6,103 cited
  • 2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange965 cited
  • 1982Options on the minimum or the maximum of two risky assets553 cited
  • 2003Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model507 cited
  • 2002AMERICAN OPTIONS WITH REGIME SWITCHING506 cited
  • 2000Energy derivatives : pricing and risk management495 cited
  • 1988A Lattice Framework for Option Pricing with Two State Variables473 cited
  • 2002Term Structure of Interest Rates with Regime Shifts456 cited
  • 2001A Regime-Switching Model of Long-Term Stock Returns436 cited
  • 2005Option pricing and Esscher transform under regime switching419 cited
  • 2010Hybrid Switching Diffusions: Properties and Applications383 cited
  • 1990Simple Binomial Processes as Diffusion Approximations in Financial Models379 cited
  • 1989Numerical Evaluation of Multivariate Contingent Claims335 cited
  • 2001Stock Trading: An Optimal Selling Rule297 cited
  • 2001Information and option pricings273 cited
  • 1998

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Valuing Options in Regime-Switching Models
231 cited

Cited by

  • 2014Convergence rates of trinomial tree methods for option pricing under regime-switching models25 cited