A general framework for time-changed Markov processes and applications

DOI10.1016/j.ejor.2018.08.033zbMath1403.91335OpenAlexW2889466991MaRDI QIDQ1622827

Y. Aharonov

Publication date: 19 November 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2018.08.033

zbMATH Keywords

Laplace transformsubordinationoption pricingMarkov processfinancetime changecontinuous-time Markov chainvariance swapsBermudan options

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (27)

Pricing of FX options in the MPT/CIR jump-diffusion model with approximative fractional stochastic volatility ⋮ Pricing and hedging foreign equity options under Hawkes jump-diffusion processes ⋮ A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions ⋮ Markov chain approximation and measure change for time-inhomogeneous stochastic processes ⋮ An analysis of dollar cost averaging and market timing investment strategies ⋮ On a time-changed Lévy risk model with capital injections and periodic observation ⋮ A general approach for Parisian stopping times under Markov processes ⋮ A general method for analysis and valuation of drawdown risk ⋮ Randomization and the valuation of guaranteed minimum death benefits ⋮ Option pricing under time interval driven model ⋮ Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection ⋮ Equity-linked guaranteed minimum death benefits with dollar cost averaging ⋮ Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models ⋮ Household lifetime strategies under a self-contagious market ⋮ A data-driven framework for consistent financial valuation and risk measurement ⋮ Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations ⋮ Pricing American drawdown options under Markov models ⋮ Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates ⋮ SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION ⋮ Variance and volatility swaps valuations with the stochastic liquidity risk ⋮ A Markov chain approximation scheme for option pricing under skew diffusions ⋮ Maximum likelihood estimation of diffusions by continuous time Markov chain ⋮ Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems ⋮ Smiles \& smirks: volatility and leverage by jumps ⋮ Robust portfolio optimization with multi-factor stochastic volatility ⋮ Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation ⋮ Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation

Uses Software

• PROJ_Option_Pricing_Matlab

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