Option valuation by a self-exciting threshold binomial model

DOI10.1016/j.mcm.2012.07.014zbMath1297.91139OpenAlexW1979489869MaRDI QIDQ462735

Hailiang Yang, Fei Lung Yuen, Tak Kuen Siu

Publication date: 21 October 2014

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2012.07.014

zbMATH Keywords

regime switchingoption valuationself-excitingbinomial modelsthreshold principletrinomial extensions

Mathematics Subject Classification ID

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

Related Items (5)

A self-exciting threshold jump-diffusion model for option valuation ⋮ Multi-period multi-criteria (MPMC) valuation of American options based on entropy optimization principles ⋮ Randomized binomial tree and pricing of American-style options ⋮ Convergence rate of regime-switching trees ⋮ Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model

Cites Work

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• Option Pricing in a Jump-Diffusion Model with Regime Switching
• Multinomial Approximating Models for Options with k State Variables
• An explicit finite difference approach to the pricing of barrier options
• Information and option pricings
• Option pricing: A simplified approach
• A simple approach for pricing equity options with Markov switching state variables

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