Option pricing under regime-switching jump-diffusion models
From MaRDI portal
Publication:2348967
DOI10.1016/j.cam.2013.07.046zbMath1314.91206OpenAlexW2080403118MaRDI QIDQ2348967
Massimo Costabile, Emilio Russo, Arturo Leccadito, Ivar Massabò
Publication date: 16 June 2015
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2013.07.046
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (25)
An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models ⋮ PRICING FORMULA FOR EXCHANGE OPTION BASED ON STOCHASTIC DELAY DIFFERENTIAL EQUATION WITH JUMPS ⋮ COS method for option pricing under a regime-switching model with time-changed Lévy processes ⋮ Market-making strategy with asymmetric information and regime-switching ⋮ Efficient hedging currency options in fractional Brownian motion model with jumps ⋮ Empirical analysis of SH50ETF and SH50ETF option prices under regime-switching jump-diffusion models ⋮ Variance swap pricing under Markov-modulated jump-diffusion model ⋮ Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model ⋮ Efficient lattice method for valuing of options with barrier in a regime switching model ⋮ A spectral element method for option pricing under regime-switching with jumps ⋮ Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales ⋮ Inference of binary regime models with jump discontinuities ⋮ Lattice-based model for pricing contingent claims under mixed fractional Brownian motion ⋮ On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models ⋮ A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes ⋮ A regime switching fractional Black-Scholes model and European option pricing ⋮ A superconvergent partial differential equation approach to price variance swaps under regime switching models ⋮ Fitted Finite Volume Method for Pricing American Options under Regime-Switching Jump-Diffusion Models Based on Penalty Method ⋮ A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models ⋮ Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models ⋮ Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models ⋮ A high order finite element scheme for pricing options under regime switching jump diffusion processes ⋮ A tree approach to options pricing under regime-switching jump diffusion models ⋮ Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients ⋮ Pricing American Options under Regime-Switching Model with a Crank-Nicolson Fitted Finite Volume Method
This page was built for publication: Option pricing under regime-switching jump-diffusion models
