scientific article; zbMATH DE number 7793048
From MaRDI portal
Publication:6181947
Publication date: 23 January 2024
Full work available at URL: http://aps.ecnu.edu.cn/EN/10.3969/j.issn.1001-4268.2023.04.006
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Fourier transformoption pricingmodeljump-diffusionregime-switchingexchange rate riskcorrelation options
Computational methods in Markov chains (60J22) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- Unnamed Item
- Unnamed Item
- Option pricing and Esscher transform under regime switching
- Valuation of correlation options under a stochastic interest rate model with regime switching
- A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
- On barrier option pricing by Erlangization in a regime-switching model with jumps
- Pricing currency options under two-factor Markov-modulated stochastic volatility models
- Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models
- Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility
This page was built for publication:
