Option pricing under regime-switching models: novel approaches removing path-dependence
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Publication:2421406
DOI10.1016/j.insmatheco.2019.04.006zbMath1410.91448OpenAlexW2943441992WikidataQ128022578 ScholiaQ128022578MaRDI QIDQ2421406
Frédéric Godin, Van Son Lai, Denis-Alexandre Trottier
Publication date: 17 June 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://spectrum.library.concordia.ca/985344/1/Godin-2019.pdf
Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (10)
A generalized Esscher transform for option valuation with regime switching risk ⋮ A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps ⋮ Option pricing under stochastic volatility models with latent volatility ⋮ Partial differential integral equation model for pricing American option under multi state regime switching with jumps ⋮ A spectral element method for option pricing under regime-switching with jumps ⋮ European option pricing with market frictions, regime switches and model uncertainty ⋮ Randomization and the valuation of guaranteed minimum death benefits ⋮ Option pricing in regime-switching frameworks with the extended Girsanov principle ⋮ A general class of distortion operators for pricing contingent claims with applications to CAT bonds ⋮ Equal risk pricing of derivatives with deep hedging
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