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Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
16 references·5 citing·37 second hop
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (2020)Efficient Asian option pricing under regi…Simple and efficient simulation of the Heston stochastic volatility model (2008)Simple and efficient simulati…Option pricing and Esscher transform under regime switching (2005)Option pricing and Esscher tr…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…AMERICAN OPTIONS WITH REGIME SWITCHING (2002)AMERICAN OPTIONS WITH REGIME …A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…A new PDE approach for pricing arithmetic average Asian options (2001)A new PDE approach for pricin…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…Estimating Security Price Derivatives Using Simulation (1996)Estimating Security Price Der…The value of an Asian option (1995)The value of an Asian optionBESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)BESSEL PROCESSES, ASIAN OPTIO…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…A pricing method for options based on average asset values (1990)A pricing method for options …Theory of Financial Decision Making. (1988)Theory of Financial Decision …Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Analytically pricing foreign exchange options under a three-factor stochastic volatility and interest rate model: A full correlation structure (2024)Analytically pricing foreign …Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging (2021)Equity-linked Guaranteed Mini…An Analysis of Dollar Cost Averaging and Market Timing Investment Strategies (2020)An Analysis of Dollar Cost Av…A data-driven framework for consistent financial valuation and risk measurement (2020)A data-driven framework for c…Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing (2019)Continuous-Time Markov Chain …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Post-'87 crash fears in the S&P 500 futures option market (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Forecasting the Term Structure of Government Bond Yields (2003)A Quick Algorithm for Pricing European Average Options (1991)Theory of rational option pricing (2005)Continuous Martingales and Brownian Motion (1999)Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Mathematical Methods for Financial Markets (2010)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)THE GARCH OPTION PRICING MODEL (1995)5 Stochastic volatility (1996)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Behavior of Stock-Market Prices (1965)Time-changed Lévy processes and option pricing (2003)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)The Impact of Jumps in Volatility and Returns (2003)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 1990A pricing method for options based on average asset values628 cited
  • 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES557 cited
  • 1995The value of an Asian option532 cited
  • 2002AMERICAN OPTIONS WITH REGIME SWITCHING506 cited
  • 1996Estimating Security Price Derivatives Using Simulation449 cited
  • 2005Option pricing and Esscher transform under regime switching419 cited
  • 2008Simple and efficient simulation of the Heston stochastic volatility model266 cited

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2001
A new PDE approach for pricing arithmetic average Asian options
266 cited

Cited by

  • 2024Analytically pricing foreign exchange options under a three-factor stochastic volatility and interest rate model: A full correlation structure30 cited
  • 2019Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing28 cited
  • 2020A data-driven framework for consistent financial valuation and risk measurement28 cited
  • 2021Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging25 cited
  • 2020An Analysis of Dollar Cost Averaging and Market Timing Investment Strategies21 cited