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Static replication of barrier-type options via integral equations
Kim, Kyoung-Kuk; Lim, Dong-Young - In: Quantitative finance 21 (2021) 2, pp. 281-294
Persistent link: https://www.econbiz.de/10012424590
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Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
Bain, Alan; Mariapragassam, Matthieu; Reisinger, Christoph - In: The journal of computational finance 24 (2021) 4, pp. 115-161
Persistent link: https://www.econbiz.de/10012544167
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Valuation of R&D compound option using Markov chain approach
D'Amico, Guglielmo; Villani, Giovanni - In: Annals of finance 17 (2021) 3, pp. 379-404
Persistent link: https://www.econbiz.de/10012622325
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CTMC integral equation method for American options under stochastic local volatility models
Ma, Jingtang; Yang, Wensheng; Cui, Zhenyu - In: Journal of economic dynamics & control 128 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012628259
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A Markov chain approximation scheme for option pricing under skew diffusions
Ding, Kailin; Cui, Zhenyu; Wang, Yongjin - In: Quantitative finance 21 (2021) 3, pp. 461-480
Persistent link: https://www.econbiz.de/10012483834
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Pricing discretely monitored barrier options under Markov processes through markov chain approximation
Cui, Zhenyu; Taylor, Stephen - In: The journal of derivatives : JOD 28 (2021) 3, pp. 8-33
Persistent link: https://www.econbiz.de/10012486028
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Regime classification and stock loan valuation
Cai, Ning; Zhang, Wei - In: Operations research 68 (2020) 4, pp. 965-983
Persistent link: https://www.econbiz.de/10012288340
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An analytic approach for pricing American options with regime switching
Chan, Leunglung; Zhu, Song-Ping - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-20
This paper investigates the American option price in a two-state regime-switching model. The dynamics of underlying are driven by a Markov-modulated Geometric Wiener process. That means the interest rate, the appreciation rate, and the volatility of underlying rely on hidden states of the...
Persistent link: https://www.econbiz.de/10012533592
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An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
He, Xin-Jiang; Zhu, Song-Ping - In: Journal of economic dynamics & control 71 (2016), pp. 77-85
Persistent link: https://www.econbiz.de/10011708772
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Implied stopping rules for American basket options from Markovian projection
Bayer, Christian; Häppölä, Juho; Tempone, Raúl - In: Quantitative finance 19 (2019) 3, pp. 371-390
Persistent link: https://www.econbiz.de/10012194659