A simple approach for pricing equity options with Markov switching state variables

DOI10.1080/14697680500511215zbMath1136.91410OpenAlexW2051136417MaRDI QIDQ5484634

Donald D. Aingworth, Sanjiv Ranjan Das

Publication date: 21 August 2006

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

Full work available at URL: https://doi.org/10.1080/14697680500511215

Mathematics Subject Classification ID

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

Related Items (21)

Pricing double-barrier option with processes depending on various states of the economy ⋮ Option pricing with regime switching by trinomial tree method ⋮ THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE ⋮ Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model ⋮ Laplace transform methods for a free boundary problem of time-fractional partial differential equation system ⋮ Stable reconstruction of the volatility in a regime-switching local-volatility model ⋮ A new tree method for pricing financial derivatives in a regime-switching mean-reverting model ⋮ Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree ⋮ Valuation and optimal strategies for American options under a Markovian regime-switching model ⋮ Iterative weak approximation and hard bounds for switching diffusion ⋮ Option valuation by a self-exciting threshold binomial model ⋮ A lattice method for option pricing with two underlying assets in the regime-switching model ⋮ Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes ⋮ Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates ⋮ Option pricing under a normal mixture distribution derived from the Markov tree model ⋮ REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING ⋮ Efficiently pricing barrier options in a Markov-switching framework ⋮ Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method ⋮ NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING ⋮ Option Pricing in a Jump-Diffusion Model with Regime Switching ⋮ Convergence rates of trinomial tree methods for option pricing under regime-switching models

Cites Work

• The Pricing of Options and Corporate Liabilities
• Analysis of time series subject to changes in regime
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Valuing American Options by Simulation: A Simple Least-Squares Approach

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