This paper provides an econometric analysis aiming at evidencing the dynamics showed by the S&P 500 market index during the period of 4 January 2001-28 April 2020, in which the subprime crisis has taken place and the COVID-19 crisis has begun. In particular, we fit a three-regime switching model...

This paper provides an econometric analysis aiming at evidencing the dynamics showed by the S&P 500 market index during the period of 4 January 2001-28 April 2020, in which the subprime crisis has taken place and the COVID-19 crisis has begun. In particular, we fit a three-regime switching model...

We develop a pricing algorithm for US-style period-average reset options written on an underlying asset which evolves in a Cox-Ross-Rubinstein (CRR) framework. The averaging feature of such an option on the reset period makes the price valuation problem computationally unfeasible because the...