Multivariate European option pricing in a Markov-modulated Lévy framework
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Publication:507979
DOI10.1016/j.cam.2016.11.040zbMath1386.91139OpenAlexW2559925996MaRDI QIDQ507979
Griselda Deelstra, Matthieu Simon
Publication date: 9 February 2017
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.2016.11.040
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (5)
COS method for option pricing under a regime-switching model with time-changed Lévy processes ⋮ Numerical Solution of a Matrix Integral Equation Arising in Markov-Modulated Lévy Processes ⋮ Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates ⋮ Pricing and hedging for correlation options with regime switching and common jump risk ⋮ Spread and basket option pricing in a Markov‐modulated Lévy framework with synchronous jumps
Cites Work
- A new exact solution for pricing European options in a two-state regime-switching economy
- An analytic valuation method for multivariate contingent claims with regime-switching volatilities
- Markov-modulated jump-diffusions for currency option pricing
- Option pricing and Esscher transform under regime switching
- Option pricing for pure jump processes with Markov switching compensators
- Pricing exotic options under regime switching
- Option pricing using variance gamma Markov chains
- Parameter estimation in stochastic differential equations.
- Pricing currency options under two-factor Markov-modulated stochastic volatility models
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Applied Probability and Queues
- Changes of numéraire, changes of probability measure and option pricing
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