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Pricing exotic options under regime switching · Study

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ArticlePricing exotic options under regime switching

Phelim P. Boyle2006

Article2006

Pricing exotic options under regime switching

Phelim P. Boyle · Thangaraj Draviam

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

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Probability and Risk Models

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1976Option pricing when underlying stock returns are discontinuous 1987The Pricing of Options on Assets with Stochastic Volatilities 1997Empirical Performance of Alternative Option Pricing Models 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 1988Theory of Financial Decision Making.1994Autoregressive conditional heteroskedasticity and changes in regime 1987The Pricing of Options on Assets with Stochastic Volatilities

Cited by

2009Option pricing with regime switching by trinomial tree method 2010Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model 2017Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps 2013Markowitz’s mean–variance asset–liability management with regime switching: A time-consistent approach 2020Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models

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Year2006

Typearticle

Published2006-06-22

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations134

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.insmatheco.2006.05.001

openalex_workW2095201842

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2010REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING

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