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Pricing currency derivatives with Markov-modulated Lévy dynamics

Sviščuk, Anatolij; Tertychnyi, Maksym; Elliott, Robert J. - In: Insurance / Mathematics & economics 57 (2014), pp. 67-76

Persistent link: https://www.econbiz.de/10010402730

An improved Markov chain approximation methodology : derivatives pricing and model calibration

Lo, Chia Chun; Skindilias, Konstantinos - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-22

Persistent link: https://www.econbiz.de/10010498837

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

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

Volterra equation for pricing and hedging in a regime switching market

Goswami, Anindya; Saini, Ravi Kant - In: Cogent economics & finance 2 (2014) 1, pp. 1-11

It is known that the risk minimizing price of European options in Markovmodulated market satisfies a system of coupled PDE, known as generalized B-S-M PDE. In this paper, another system of equations, which can be categorized as a Volterra integral equations of second kind, are considered. It is...

Persistent link: https://www.econbiz.de/10010489760