Option pricing under a normal mixture distribution derived from the Markov tree model

DOI10.1016/j.ejor.2012.07.003zbMath1292.91173OpenAlexW2005115413MaRDI QIDQ2253395

Harish S. Bhat, Nitesh Kumar

Publication date: 27 July 2014

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2012.07.003

zbMATH Keywords

asymptotic analysisfinancemixture modelsoptions pricingempirical testing

Mathematics Subject Classification ID

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

Related Items (6)

Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis ⋮ Pricing exotic derivatives exploiting structure ⋮ Multi-criteria classification for pricing European options ⋮ A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps ⋮ Pricing options based on trinomial Markov tree ⋮ Pricing and risk management of interest rate swaps

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Mixture dynamics and regime switching diffusions with application to option pricing
• An approximation scheme for Black-Scholes equations with delays
• Explicit solutions to European options in a regime-switching economy
• Asymptotic analysis of option pricing in a Markov modulated market
• Stochastic calculus for finance. I: The binomial asset pricing model.
• Hyperbolic distributions in finance
• Bubbles and crashes in a Black-Scholes model with delay
• The pricing of options for securities markets with delayed response
• Portfolio optimization when asset returns have the Gaussian mixture distribution
• Infinite-dimensional Black-Scholes equation with hereditary structure
• A Stochastic Portfolio Optimization Model with Bounded Memory
• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
• A Delayed Black and Scholes Formula
• Empirical properties of asset returns: stylized facts and statistical issues
• Numerically inverting a class of singular Fourier transforms: theory and application to mountain waves
• Elements of the Random Walk
• Markov Tree Options Pricing
• Theory of Financial Risk and Derivative Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• A simple approach for pricing equity options with Markov switching state variables
• A Simplex Method for Function Minimization
• The Behavior of Stock-Price Relatives—A Markovian Analysis

This page was built for publication: Option pricing under a normal mixture distribution derived from the Markov tree model