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Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
16 references·0 citing·40 second hop
Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model (2018)Localized kernel-based approximation for …Tools for Computational Finance (2012)Tools for Computational Finan…A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models (2011)A Second-order Finite Differe…Option pricing with regime switching by trinomial tree method (2009)Option pricing with regime sw…Operator splitting methods for pricing American options under stochastic volatility (2009)Operator splitting methods fo…Option pricing and Esscher transform under regime switching (2005)Option pricing and Esscher tr…Operator splitting methods for American option pricing (2004)Operator splitting methods fo…Convergence remedies for non-smooth payoffs in option pricing (2003)Convergence remedies for non-…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…Term Structure of Interest Rates with Regime Shifts (2002)Term Structure of Interest Ra…AMERICAN OPTIONS WITH REGIME SWITCHING (2002)AMERICAN OPTIONS WITH REGIME …A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…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…Penalty methods for American options with stochastic volatility (1998)Penalty methods for American …Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Efficient Analytic Approximation of American Option Values (1987)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Closed-Form Solutions for Perpetual American Put Options with Regime Switching (2004)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)PDE methods for pricing barrier options (2000)A Real Options Approach to the Valuation of a Forestry Investment (2002)A penalty method for American options with jump diffusion processes (2004)“Options, Futures, and Other Derivatives” (2016)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Theory of Rational Option Pricing (1973)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)Option pricing: A simplified approach (1979)Continuous Auctions and Insider Trading (1985)An explicit solution to an optimal stopping problem with regime switching (2001)The Skorokhod embedding problem and its offspring (2004)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)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)The Behavior of Stock-Market Prices (1965)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 2002AMERICAN OPTIONS WITH REGIME SWITCHING506 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
  • 1998Penalty methods for American options with stochastic volatility290 cited
  • 2001Information and option pricings273 cited
  • 2012Tools for Computational Finance220 cited
  • 2004Operator splitting methods for American option pricing192 cited
  • 2003Convergence remedies for non-smooth payoffs in option pricing155 cited
  • 2009Operator splitting methods for pricing American options under stochastic volatility132 cited
  • 2009Option pricing with regime switching by trinomial tree method118 cited
  • 2011A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models

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