A deposit insurance pricing with a multi-state regime-switching volatility
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Publication:2114499
DOI10.1007/s40819-021-01176-2zbMath1499.91176OpenAlexW3217618973MaRDI QIDQ2114499
Chairul Imron, Venansius R. Tjahjono, Endah R. M. Putri
Publication date: 15 March 2022
Published in: International Journal of Applied and Computational Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40819-021-01176-2
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Brownian motion (60J65) Actuarial mathematics (91G05)
Cites Work
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- Option pricing in a regime-switching model using the fast Fourier transform
- A semi-analytic valuation of American options under a two-state regime-switching economy
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- Forecasting Stock Market Volatility with Regime-Switching GARCH Models
- Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
- VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY
- Quasi-Monte Carlo Methods in Numerical Finance
- Dynamics of implied volatility surfaces
- Volatility surfaces: theory, rules of thumb, and empirical evidence
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