On a continuous time stock price model with regime switching, delay, and threshold

DOI10.1080/14697688.2013.879990zbMath1402.91806OpenAlexW2004368265WikidataQ58389587 ScholiaQ58389587MaRDI QIDQ5245906

Pedro Mota, Manuel L. Esquível

Publication date: 16 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.879990

zbMATH Keywords

delayoption pricingregime switchingconsistent estimatorcontinuous processesthresholdstock price model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Least squares and related methods for stochastic control systems (93E24) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Analytic value function for optimal regime-switching pairs trading rules ⋮ Synchronization of hybrid switching diffusions delayed networks via stochastic event-triggered control ⋮ A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA ⋮ Model selection for stock prices data ⋮ Statistical estimation of the oscillating Brownian motion ⋮ Extreme at-the-money skew in a local volatility model ⋮ A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns

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• Limiting properties of the least squares estimator of a continuous threshold autoregressive model
• A simple regime switching term structure model

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