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Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model : with regime-switching risk premium

Li, Chang-Yi; Chen, Son-nan; Lin, Shih-kuei - In: The European journal of finance 22 (2016) 10/12, pp. 887-908

Persistent link: https://www.econbiz.de/10011715220

Regime switching affine processes with applications to finance

Beek, Misha van; Mandjes, Michel; Spreij, Peter; … - In: Finance and stochastics 24 (2020) 2, pp. 309-333

Persistent link: https://www.econbiz.de/10012253354

A set-valued Markov chain approach to credit default

Chen, Dianfa; Deng, Jun; Feng, Jianfen; Zou, Bin - In: Quantitative finance 20 (2020) 4, pp. 669-689

Persistent link: https://www.econbiz.de/10012194914

Simple and good - option pricing with regime switching skew tree models

Hausmann, Wilfried - Technische Hochschule Mittelhessen - 2018

Persistent link: https://www.econbiz.de/10012155050

A discrete-time approach to evaluate path-dependent derivatives in a regime-switching risk model

Russo, Emilio - In: Risks : open access journal 8 (2020) 1/9, pp. 1-22

This paper provides a discrete-time approach for evaluating financial and actuarial products characterized by path-dependent features in a regime-switching risk model. In each regime, a binomial discretization of the asset value is obtained by modifying the parameters used to generate the...

Persistent link: https://www.econbiz.de/10012204035