Option pricing in regime-switching frameworks with the extended Girsanov principle

DOI10.1016/j.insmatheco.2021.02.007zbMath1467.91185OpenAlexW3145375958WikidataQ115162923 ScholiaQ115162923MaRDI QIDQ2038228

Frédéric Godin, Denis-Alexandre Trottier

Publication date: 6 July 2021

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.02.007

zbMATH Keywords

option pricinghidden Markov modelsregime-switchingpath-dependencevariable annuitiesextended Girsanov principleimplied volatility surfaces

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

A generalized Esscher transform for option valuation with regime switching risk ⋮ Option pricing under stochastic volatility models with latent volatility ⋮ European option pricing with market frictions, regime switches and model uncertainty

Cites Work

• On pricing and hedging options in regime-switching models with feedback effect
• Valuing variable annuity guarantees with the multivariate Esscher transform
• A hidden Markov regime-switching model for option valuation
• Option pricing and Esscher transform under regime switching
• Explicit solutions to European options in a regime-switching economy
• Option pricing in a regime-switching model using the fast Fourier transform
• Pricing exotic options under regime switching
• Martingales and arbitrage in multiperiod securities markets
• Empirical assessment of an intertemporal option pricing model with latent variables.
• Equal risk pricing under convex trading constraints
• An example of indifference prices under exponential preferences
• Asset pricing using trading volumes in a hidden regime-switching environment
• Pricing annuity guarantees under a double regime-switching model
• What is beneath the surface? Option pricing with multifrequency latent states
• Option pricing under regime-switching models: novel approaches removing path-dependence
• Optimal hedging when the underlying asset follows a regime-switching Markov process
• Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes
• Option Pricing With Markov-Modulated Dynamics
• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
• On Esscher Transforms in Discrete Finance Models
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A Discrete Time Equivalent Martingale Measure
• Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
• A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing
• LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK
• VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK
• Dynamics of implied volatility surfaces
• Option pricing under regime switching
• Pricing Annuity Guarantees Under a Regime-Switching Model
• Deep hedging
• A Regime-Switching Model of Long-Term Stock Returns
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
• Bond pricing in a hidden Markov model of the short rate
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Option pricing in regime-switching frameworks with the extended Girsanov principle