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Continuously monitored barrier options under Markov processes
Mijatovi´c, Aleksandar; Pistorius, Martijn - In: Mathematical finance : an international journal of … 23 (2013) 1, pp. 1-38
Persistent link: https://www.econbiz.de/10009712564
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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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Saddlepoint approximations to option price in a regime-switching model
Zhang, Mengzhe; Chan, Leunglung - In: Annals of finance 12 (2016) 1, pp. 55-69
Persistent link: https://www.econbiz.de/10011555421
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A robust nNumerical scheme for pricing American options under regime switching based on penalty method
Zhang, K.; Teo, Kok Lay; Swartz, M. - In: Computational economics 43 (2014) 4, pp. 463-483
Persistent link: https://www.econbiz.de/10010396243
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An explicit analytic formula for pricing barrier options with regime switching
Chan, Leunglung; Zhu, Song-Ping - In: Mathematics and financial economics 9 (2015) 1, pp. 29-37
Persistent link: https://www.econbiz.de/10010500699
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Pricing of perpetual American options in a model with partial information
Gapeev, Pavel V. - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10009562132
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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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Option pricing with a dividend general equilibrium model
Chourdakis, Kyriakos M.; Tzavalis, Elias - 2000
Persistent link: https://www.econbiz.de/10001540194
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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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A Simple Approach for Pricing Equity Options With Markov Switching State Variables
Aingworth, Donald D. - 2011
We provide a polynomial time lattice algorithm for pricing options with Markov-switching volatility. This parsimonious model bridges the computational gap between constant volatility models of Cox et al. (1979), which are easy to compute, and fully stochastic volatility models (e.g. Heston...
Persistent link: https://www.econbiz.de/10013128742