A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model

DOI10.1016/J.CHAOS.2020.110644zbMath1498.91453OpenAlexW3123595000MaRDI QIDQ2131630

Sha Lin, Xin-Jiang He

Publication date: 26 April 2022

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2020.110644

zbMATH Keywords

stochastic volatilityregime-switchingclosed-formforward start options

Mathematics Subject Classification ID

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

Related Items (6)

Robust and accurate construction of the local volatility surface using the Black-Scholes equation ⋮ Calibration of the temporally varying volatility and interest rate functions ⋮ Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model ⋮ AN ANALYTICAL APPROXIMATION FORMULA FOR THE PRICING OF CREDIT DEFAULT SWAPS WITH REGIME SWITCHING ⋮ Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks ⋮ Computation of powered option prices under a general model for underlying asset dynamics

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