Similar Search Results

Pricing of perpetual American options in a model with partial information

Gapeev, Pavel V. - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10009562132

A robust nNumerical scheme for pricing American options under regime switching based on penalty method

Zhang, K.; Teo, Kok Lay; Swartz, M. - In: Computational economics 43 (2014) 4, pp. 463-483

Persistent link: https://www.econbiz.de/10010396243

Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models

Kirkby, J. Lars; Nguyen, Duy - In: Annals of finance 16 (2020) 3, pp. 307-351

Persistent link: https://www.econbiz.de/10012496337

Pricing exotic options in a regime switching economy : a Fourier transform method

Hieber, Peter - In: Review of derivatives research 21 (2018) 2, pp. 231-252

Persistent link: https://www.econbiz.de/10012055739

An analytic approach for pricing American options with regime switching

Chan, Leunglung; Zhu, Song-Ping - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-20

This paper investigates the American option price in a two-state regime-switching model. The dynamics of underlying are driven by a Markov-modulated Geometric Wiener process. That means the interest rate, the appreciation rate, and the volatility of underlying rely on hidden states of the...

Persistent link: https://www.econbiz.de/10012533592

The CTMC–Heston model : calibration and exotic option pricing with SWIFT

Leitao, Álvaro; Kirkby, J. Lars; Ortiz-Garcia, Luis - In: The journal of computational finance 24 (2021) 4, pp. 71-114

Persistent link: https://www.econbiz.de/10012544164

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

Barrier option pricing by branching processes

Mitov, Georgi K.; Račev, Svetlozar T.; Kim, Young Shin; … - In: International journal of theoretical and applied finance 12 (2009) 7, pp. 1055-1073

Persistent link: https://www.econbiz.de/10003928804

Fourier transformation and the pricing of average-rate derivatives

Ju, Nengjiu; Zhong, Rui - In: Review of derivatives research 9 (2006) 3, pp. 187-212

Persistent link: https://www.econbiz.de/10003608138

Exotic options with Lévy processes : the Markovian approach

Ortobelli Lozza, Sergio; Staino, Alessandro - In: Investment management and financial innovations 8 (2011) 1, pp. 140-156

Persistent link: https://www.econbiz.de/10009153809

1
2
3
4
5
6
7
8
9
10
Next
Last