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Pricing American option using a modified fractional black-scholes model under multi-state regime switching

Yousuf, M.; Khaliq, Abdul Q. M. - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-21

Persistent link: https://www.econbiz.de/10014497295

American put options with regime-switching volatility

Jang, Bong-Gyu; Koo, Hyeng-keun - In: Journal of derivatives and quantitative studies 32 (2024) 2, pp. 86-115

We present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the option price can be expressed as the sum of two components: the price of a European put option and the premium associated with the early exercise privilege. Our analysis...

Persistent link: https://www.econbiz.de/10015054085

A Bayesian analysis of time-varying jump risk in S&P 500 returns and options

Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014466112

Valuation of floating range notes in Lévy term-structure models

Eberlein, Ernst; Kluge, Wolfgang - In: Mathematical finance : an international journal of … 16 (2006) 2, pp. 237-254

Persistent link: https://www.econbiz.de/10003325838

Analytical valuation of barrier interest rate options under market models

Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 17 (2009/10) 1, pp. 21-37

Persistent link: https://www.econbiz.de/10003892315

A forward started jump-diffusion model and pricing of cliquet style exotics

Drimus, Gabriel - In: Review of derivatives research 13 (2010) 2, pp. 125-140

Persistent link: https://www.econbiz.de/10008695496

Volatility and price information contained in selected agricultural futures options

Egelkraut, Thorsten Michael - 2005

Persistent link: https://www.econbiz.de/10003380192

Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation

Beveridge, Christopher; Joshi, Mark S.; Tang, Robert - In: Journal of economic dynamics & control 37 (2013) 7, pp. 1342-1361

Persistent link: https://www.econbiz.de/10009751160

Evaluating callable and putable bonds : an eigenfunction expansion approach

Lim, Dongjae; Li, Lingfei; Linetsky, Vadim - In: Journal of economic dynamics & control 36 (2012) 12, pp. 1888-1908

Persistent link: https://www.econbiz.de/10009701917

Calibration of implied volatility for the exchange rate for the Chinese Yuan from its derivatives

Liang, Jin; Gao, Y. - In: Economic modelling 29 (2012) 4, pp. 1278-1285

Persistent link: https://www.econbiz.de/10009667379

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