Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model

DOI10.1080/03610920903268873zbMath1202.91328OpenAlexW2002383375MaRDI QIDQ3064081

Wei Wang, Wen Sheng Wang

Publication date: 20 December 2010

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920903268873

zbMATH Keywords

option pricingregime switchingEsscher transformvulnerable option

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items

Option pricing in a regime switching stochastic volatility model, The European vulnerable option pricing with jumps based on a mixed model, Pricing warrant bonds with credit risk under a jump diffusion process, Pricing vulnerable options with market prices of common jump risks under regime-switching models, Pricing vulnerable option under jump-diffusion model with incomplete information, Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion

Cites Work

• Option pricing and Esscher transform under regime switching
• Martingales and stochastic integrals in the theory of continuous trading
• A general version of the fundamental theorem of asset pricing
• A stochastic calculus model of continuous trading: Complete markets
• Valuation of vulnerable American options with correlated credit risk
• The credit risk and pricing of OTC options
• Pricing currency options under two-factor Markov-modulated stochastic volatility models
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
• On Esscher Transforms in Discrete Finance Models
• Option pricing when underlying stock returns are discontinuous