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Stock index options pricing under jump patterns driven by market states

Lin, Chao-Yang; Liu, Huimei; Lee, Jia-Ching; Lin, Shih-kuei - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 4, pp. 840-859

Persistent link: https://www.econbiz.de/10012211508

Markov modulated jump-diffusions for currency options when regime switching risk is priced

Liu, David - In: International journal of financial engineering 6 (2019) 4, pp. 1-26

Persistent link: https://www.econbiz.de/10012314539

Structural pricing of CoCos and deposit insurance with regime switching and jumps

Le Courtois, Olivier; Su, Xiaoshan - In: Asia Pacific financial markets 27 (2020) 4, pp. 477-520

Persistent link: https://www.econbiz.de/10012390326

A semi-analytic valuation of two-asset barrier options and autocallable products using Brownian bridge

Lee, Hangsuck; Lee, Minha; Ko, Bangwon - In: The North American journal of economics and finance : a … 61 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013449375

Min-max multi-step barrier options and their variants

Lee, Hangsuck; Lee, Gaeun; Song, Seongjoo - In: The North American journal of economics and finance : a … 67 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014484160

Pricing European options under stochastic volatility models : case of five-parameter variance-gamma process

Nzokem, Aubain Hilaire - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-28

The paper builds a Variance-Gamma (VG) model with five parameters: location (μ), symmetry (δ), volatility (σ), shape (α), and scale (θ); and studies its application to the pricing of European options. The results of our analysis show that the five-parameter VG model is a stochastic...

Persistent link: https://www.econbiz.de/10014288862