Pricing options with credit risk in Markovian regime-switching markets
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Publication:364454
DOI10.1155/2013/621371zbMath1271.91056OpenAlexW2104324557WikidataQ59003373 ScholiaQ59003373MaRDI QIDQ364454
Publication date: 9 September 2013
Published in: Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2013/621371
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Related Items (5)
Option pricing in a regime switching stochastic volatility model ⋮ Inference of binary regime models with jump discontinuities ⋮ DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS ⋮ The pricing of vulnerable options in a fractional Brownian motion environment ⋮ Valuation of the vulnerable option price based on mixed fractional Brownian motion
Cites Work
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- Markov-modulated jump-diffusions for currency option pricing
- Option pricing and Esscher transform under regime switching
- Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
- Option pricing for pure jump processes with Markov switching compensators
- Pricing currency options under two-factor Markov-modulated stochastic volatility models
- DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
- FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
- Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
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