Option valuation by a self-exciting threshold binomial model
type: Item
instance of: scholarly article
title: Option valuation by a self-exciting threshold binomial model
zbMATH Open document ID: 1297.91139
author: Fei Lung Yuen
author: Tak Kuen Siu
author: Hailiang Yang
published in: Mathematical and Computer Modelling
publication date: 2014-10-21T00:00:00Z
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6359523
zbMATH Keywords: option valuation
zbMATH Keywords: threshold principle
zbMATH Keywords: self-exciting
zbMATH Keywords: binomial models
zbMATH Keywords: trinomial extensions
zbMATH Keywords: regime switching
MaRDI profile type: Publication
full work available at URL: j.mcm.2012.07.014
OpenAlex ID: W1979489869
cites work: The pricing of options and corporate liabilities
cites work: Q4905685
cites work: Option pricing: A simplified approach
cites work: An explicit finite difference approach to the pricing of barrier options
cites work: Multinomial Approximating Models for Options with k State Variables
cites work: Information and option pricings
cites work: Q4438197
cites work: AMERICAN OPTIONS WITH REGIME SWITCHING
cites work: Option pricing and Esscher transform under regime switching
cites work: A game theoretic approach to option valuation under Markovian regime-switching models
cites work: A simple approach for pricing equity options with Markov switching state variables
cites work: Option Pricing in a Jump-Diffusion Model with Regime Switching
cites work: Q3893184
DOI: 10.1016/J.MCM.2012.07.014
Recommended article: A self-exciting threshold jump-diffusion model for option valuation
Recommended article: Option Pricing with Threshold Diffusion Processes
Recommended article: On the option pricing for a generalization of the binomial model
Recommended article: Q4461443
Recommended article: Q3599282
Recommended article: Option pricing under threshold autoregressive models by threshold Esscher transform
Recommended article: VALUATION OF BARRIER OPTIONS VIA A GENERAL SELF‐DUALITY
Recommended article: An adaptive averaging binomial method for option valuation
Recommended article: Asymptotic and non asymptotic approximations for option valuation
description: scientific article; zbMATH DE number 6359523