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Option pricing under discrete shifts in stock returns
Chourdakis, Kyriakos M.; Tzavalis, Elias - 2000
Persistent link: https://www.econbiz.de/10001540195
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Pricing external barrier options in a regime-switching model
Kim, Jerim; Kim, Jeongsim; Yoo, Hyun Joo; Kim, Bara - In: Journal of economic dynamics & control 53 (2015), pp. 123-143
Persistent link: https://www.econbiz.de/10011526900
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Empirical study of Nikkei 225 options with the Markov switching GARCH model
Satoyoshi, Kiyotaka; Mitsui, Hidetoshi - In: Asia-Pacific financial markets 18 (2011) 1, pp. 55-68
Persistent link: https://www.econbiz.de/10009237749
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Efficient Asian Option Pricing Under Regime Switching Jump Diffusions and Stochastic Volatility Models
Kirkby, Justin - 2020
diffusions as well as stochastic volatility models with jumps. The method combines Continuous-Time Markov Chain (CTMC …
Persistent link: https://www.econbiz.de/10012836426
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Efficient Asian Option Pricing Under Regime Switching Jump Diffusions and Stochastic Volatility Models
Kirkby, Justin - 2020
diffusions as well as stochastic volatility models with jumps. The method combines Continuous-Time Markov Chain (CTMC …
Persistent link: https://www.econbiz.de/10012837046
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American option pricing and filtering with a hidden regime-switching jump diffusion
Siu, Tak Kuen; Elliott, Robert J. - In: The journal of derivatives : JOD 29 (2022) 3, pp. 106-123
Persistent link: https://www.econbiz.de/10013174827
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Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Kirkby, J. Lars; Nguyen, Duy - In: Annals of finance 16 (2020) 3, pp. 307-351
Persistent link: https://www.econbiz.de/10012496337
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Regime-switching stochastic volatility model : estimation and calibration to VIX options
Goutte, Stéphane; Ismail, Amine; Pham, Huyên - In: Applied mathematical finance 24 (2017) 1/2, pp. 38-75
Persistent link: https://www.econbiz.de/10011746993
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Option pricing and hedging for discrete time regime-switching models
Rémillard, Bruno; Hocquard, Alexandre; Lamarre, Hugo; … - In: Modern economy 8 (2017) 8, pp. 1005-1032
Persistent link: https://www.econbiz.de/10011748340
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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