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Pricing exotic options under regime switching

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References

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1998Valuing Options in Regime-Switching Models231 cited

Cited by

2009Option pricing with regime switching by trinomial tree method118 cited
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2017Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps79 cited
2013Markowitz’s mean–variance asset–liability management with regime switching: A time-consistent approach73 cited
2020Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models71 cited
2010REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING68 cited
2009Continuous-time mean–variance portfolio selection with liability and regime switching50 cited
2009Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals43 cited
2012FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS41 cited
2015VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK41 cited
2010Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method40 cited
2018COS method for option pricing under a regime-switching model with time-changed Lévy processes40 cited
2009Option Pricing in a Jump-Diffusion Model with Regime Switching37 cited
2008The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model35 cited
2013Option Valuation Under a Double Regime‐Switching Model33 cited
2007Adaptive signal processing of asset price dynamics with predictability analysis33 cited