Saddlepoint approximations to option price in a regime-switching model
type: Item
instance of: scholarly article
title: Saddlepoint approximations to option price in a regime-switching model
zbMATH Open document ID: 1398.91622
author: Mengzhe Zhang
author: Leunglung Chan
published in: Annals of Finance
publication date: 2016-06-28T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60J65
zbMATH DE Number: 6599188
zbMATH Keywords: call option
zbMATH Keywords: Markov-modulated geometric Brownian motion
zbMATH Keywords: regime switching model
zbMATH Keywords: saddlepoint method
MaRDI profile type: Publication
full work available at URL: s10436-015-0272-2
OpenAlex ID: W2215450291
cites work: Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
cites work: AMERICAN OPTIONS WITH REGIME SWITCHING
cites work: Tail Probability Approximations
cites work: Large portfolio losses
cites work: General Saddlepoint Approximations with Applications to L Statistics
cites work: Q4323296
cites work: Option pricing and Esscher transform under regime switching
cites work: Pricing of discount bonds with a Markov switching regime
cites work: Dynamic optimal capital structure with regime switching
cites work: Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
cites work: A PDE approach for risk measures for derivatives with regime switching
cites work: Saddlepoint approximations for affine jump-diffusion models
cites work: Information and option pricings
cites work: A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
cites work: Saddle point approximation for the distribution of the sum of independent random variables
cites work: Option pricing in a regime-switching model using the fast Fourier transform
cites work: Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
cites work: Saddlepoint approximations to option prices
cites work: On the Product of Semi-Groups of Operators
cites work: Saddlepoint Approximations to the CDF of Some Statistics with Nonnormal Limit Distributions
cites work: Q4375487
cites work: A new exact solution for pricing European options in a two-state regime-switching economy
DOI: 10.1007/S10436-015-0272-2
Recommended article: Saddlepoint approximations to option price in a general equilibrium model
Recommended article: Saddlepoint approximations to option prices
Recommended article: Saddlepoint methods for option pricing
Recommended article: Option pricing in a regime switching stochastic volatility model
Recommended article: Option Pricing in a Jump-Diffusion Model with Regime Switching
Recommended article: Option pricing under regime-switching jump-diffusion models
Recommended article: Polynomial Approximation to Option Prices under Regime Switching
Recommended article: Option pricing under jump-diffusion processes with regime switching
Recommended article: Q4980581
description: scientific article; zbMATH DE number 6599188