Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching
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DOI: 10.1007/s10614-017-9754-9
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Cited by:
- Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2023. "COVID-19 and stock returns: Evidence from the Markov switching dependence approach," Research in International Business and Finance, Elsevier, vol. 64(C).
- Christos Alexakis & Michael Dowling & Konstantinos Eleftheriou & Michael Polemis, 2021.
"Textual Machine Learning: An Application to Computational Economics Research,"
Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 369-385, January.
- Christos Alexakis & Michael Dowling & Konstantinos Eleftheriou & Michael Polemis, 2021. "Textual Machine Learning: An Application to Computational Economics Research," Post-Print hal-03182910, HAL.
- Junrong Liu & Zhiping Chen & Qihong Duan, 2024. "Automation of the Individualized Investing Strategy for an Investment Advisor Established by a Semi-Markov Regime-Switching Model," Computational Economics, Springer;Society for Computational Economics, vol. 63(6), pages 2351-2370, June.
- Hu, Shicheng & Zhang, Weijie & Li, Danping & Wu, Bing, 2023. "Incorporating improved directional change and regime change detection to formulate trading strategies in foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 622(C).
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Keywords
Option pricing; Hidden Markov model (HMM); Regime-switching; Characteristic function; Fourier transformation;All these keywords.
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