Option pricing in a regime-switching model using the fast Fourier transform

DOI10.1155/JAMSA/2006/18109zbMath1140.91402MaRDI QIDQ937475

Ruihua Liu, Qing Zhang, G. George Yin

Publication date: 15 August 2008

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/54322

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)

Related Items

A path-independent method for barrier option pricing in hidden Markov models ⋮ Saddlepoint approximations to option price in a regime-switching model ⋮ Analytic value function for optimal regime-switching pairs trading rules ⋮ COS method for option pricing under a regime-switching model with time-changed Lévy processes ⋮ Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance ⋮ Variance swap pricing under Markov-modulated jump-diffusion model ⋮ Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model ⋮ Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model ⋮ A new tree method for pricing financial derivatives in a regime-switching mean-reverting model ⋮ Option pricing under regime-switching models: novel approaches removing path-dependence ⋮ Valuation of correlation options under a stochastic interest rate model with regime switching ⋮ An integral equation approach for pricing American put options under regime-switching model ⋮ A regime switching fractional Black-Scholes model and European option pricing ⋮ Option pricing and hedging under a stochastic volatility Lévy process model ⋮ Trading a mean-reverting asset: buy low and sell high ⋮ SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL ⋮ A lattice method for option pricing with two underlying assets in the regime-switching model ⋮ VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING ⋮ Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes ⋮ FINITE MATURITY AMERICAN-STYLE STOCK LOANS WITH REGIME-SWITCHING VOLATILITY ⋮ Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model ⋮ A trend-following strategy: conditions for optimality ⋮ BSDEs with regime switching: weak convergence and applications ⋮ Mixture dynamics and regime switching diffusions with application to option pricing ⋮ FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY ⋮ Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion ⋮ Pricing American options under multi-states: a radial basis collocation approach ⋮ Estimating models based on Markov jump processes given fragmented observation series ⋮ Option pricing in regime-switching frameworks with the extended Girsanov principle ⋮ Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality ⋮ On a Markov chain approximation method for option pricing with regime switching ⋮ The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework ⋮ Pricing annuity guarantees under a double regime-switching model ⋮ A deposit insurance pricing with a multi-state regime-switching volatility

Cites Work

This page was built for publication: Option pricing in a regime-switching model using the fast Fourier transform