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Option pricing under regime switching

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References

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1993Measuring and Testing the Impact of News on Volatility3,692 cited
1997Empirical Performance of Alternative Option Pricing Models2,708 cited
1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
1998Implied Volatility Functions: Empirical Tests1,248 cited
1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
1995THE GARCH OPTION PRICING MODEL1,131 cited
1996Recovering Probability Distributions from Option Prices1,086 cited
1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices1,060 cited
1993Measuring and Testing the Impact of News on Volatility755 cited
1997Augmented GARCH (p,q) process and its diffusion limit370 cited
1994Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth288 cited
1993On biases in the measurement of foreign exchange risk premiums

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275 cited

1999Pricing Options under Generalized GARCH and Stochastic Volatility Processes240 cited

Cited by

2002Option Pricing Using Variance Gamma Markov Chains114 cited
2012Optimal dividend distribution under Markov regime switching88 cited
2006Volatility estimation via hidden Markov models71 cited
2009Valuation of Stock Loans with Regime Switching67 cited
2014Cash flow volatility and corporate bond yield spreads60 cited
2010Pricing and Inference with Mixtures of Conditionally Normal Processes58 cited
2014An optimal stochastic control framework for determining the cost of hedging of variable annuities53 cited
2008Econometric Asset Pricing Modelling51 cited
2006A simple approach for pricing equity options with Markov switching state variables51 cited
2009Microstructural biases in empirical tests of option pricing models45 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
2006OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING37 cited
2005Optimal stock liquidation in a regime switching model with finite time horizon34 cited
2016Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy32 cited
2018On the Seasonality in the Implied Volatility of Electricity Options30 cited