A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps

DOI10.1080/03610926.2020.1833221OpenAlexW3093604655MaRDI QIDQ5093699

No author found.

Publication date: 1 August 2022

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

Full work available at URL: https://doi.org/10.1080/03610926.2020.1833221

zbMATH Keywords

jumpsoption pricingstochastic interest rateMarkov regime switchingdouble stochastic volatility

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items

Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility ⋮ Pricing and hedging for correlation options with regime switching and common jump risk ⋮ Valuation of European crude oil options with co-jump diffusions and stochastic interest rate ⋮ Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm

Cites Work

• The Pricing of Options and Corporate Liabilities
• A Jump-Diffusion Model for Option Pricing
• An explicitly solvable Heston model with stochastic interest rate
• Pricing of discount bonds with a Markov switching regime
• Option pricing in a regime switching stochastic volatility model
• Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
• Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
• Option pricing under regime-switching models: novel approaches removing path-dependence
• On the Heston Model with Stochastic Interest Rates
• Asymptotic formulae for implied volatility in the Heston model
• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
• Stochastic Volatility Effects on Defaultable Bonds
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• COS method for option pricing under a regime-switching model with time-changed Lévy processes
• Regime-switching stochastic volatility model: estimation and calibration to VIX options
• American option pricing under the double Heston model based on asymptotic expansion
• An FFT approach for option pricing under a regime-switching stochastic interest rate model
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous