Pricing vulnerable options with market prices of common jump risks under regime-switching models

DOI10.1155/2018/8545841zbMath1422.91700OpenAlexW2786675410MaRDI QIDQ1727291

Miao Han, Huawei Niu, Sheng-Wu Zhou, Xue-Feng Song

Publication date: 20 February 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2018/8545841

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Pricing vulnerable options in a mixed fractional Brownian motion with jumps

Cites Work

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• A Jump-Diffusion Model for Option Pricing
• Markov-modulated jump-diffusions for currency option pricing
• Option pricing and Esscher transform under regime switching
• Option pricing for pure jump processes with Markov switching compensators
• Valuation of vulnerable American options with correlated credit risk
• Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
• Option pricing when underlying stock returns are discontinuous

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