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VaR-optimal risk management in regime-switching jump-diffusion models
Ramponi, Alessandro - In: Journal of mathematical finance 3 (2013) 1, pp. 103-109
Persistent link: https://www.econbiz.de/10010240819
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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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A recombining tree method for option pricing with state-dependent switching rates
Jiang, J. X.; Liu, Rui Hua; Nguyen, D. - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10011455022
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Herding and stochastic volatility
Farkas, Walter; Necula, Ciprian; Waelchli, Boris - 2015 - This version: 30 September 2015
In this paper we develop a one-factor non-affine stochastic volatility option pricing model where the dynamics of the … asset induce an amplification of the volatility of the asset over the volatility of the fundamentals. Although the model is …
Persistent link: https://www.econbiz.de/10011507732
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Stochastic volatility models for asset returns with leverage, skewness and heavy-tails via scale mixture
Huang, Jing-Zhi; Xu, Li - In: The quarterly journal of finance 4 (2014) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10010473521
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The pricing of single name credit default swap based on jump-diffusion process and volatility with Markov regime shift
Liu, Xianghua; Xiao, Xueping - In: International journal of services technology and management 20 (2014) 1/2/3, pp. 71-84
Persistent link: https://www.econbiz.de/10010505392
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Volatility dynamics for the S&P 500 : further evidence from non-affine, multi-factor jump diffusions
Kaeck, Andreas; Alexander, Carol - In: Journal of banking & finance 36 (2012) 11, pp. 3110-3121
Persistent link: https://www.econbiz.de/10009672975
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Bayesian estimation of a stochastic volatility model using option and spot prices : application of a Bivariate Kalman Filter
Forbes, Catherine Scipione; Martin, Gael M.; Wright, Jill - 2003
Persistent link: https://www.econbiz.de/10001854495
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Stochastic volatility and jumps driven by continous time Markov chains
Chourdakis, Kyriakos M. - 2000
Persistent link: https://www.econbiz.de/10001548114
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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