Pricing currency options under two-factor Markov-modulated stochastic volatility models

Citations

Cited by:

1. Milan Kumar Das & Anindya Goswami, 2019. "Testing of binary regime switching models using squeeze duration analysis," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 1-20, March.
2. Bo, Lijun, 2011. "Exponential change of measure applied to term structures of interest rates and exchange rates," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 216-225, September.
3. Zhang, Ziqing, 2024. "Multi-regime foreign exchange rate model: Calibration and pricing," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 220(C), pages 204-218.
4. Jinzhi Li & Haiying Liu, 2015. "Optimal Investment for the Insurers in Markov-Modulated Jump-Diffusion Models," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 143-156, June.
5. Wang, Guanying & Wang, Xingchun & Zhou, Ke, 2017. "Pricing vulnerable options with stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 485(C), pages 91-103.
6. He, Xin-Jiang & Zhu, Song-Ping, 2017. "How should a local regime-switching model be calibrated?," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 149-163.
7. Anatoliy Swishchuk & Maksym Tertychnyi & Robert Elliott, 2014. "Pricing Currency Derivatives with Markov-modulated Levy Dynamics," Papers 1402.1953, arXiv.org.
8. Bo, Lijun & Tang, Dan & Wang, Yongjin, 2017. "Optimal investment of variance-swaps in jump-diffusion market with regime-switching," Journal of Economic Dynamics and Control, Elsevier, vol. 83(C), pages 175-197.
9. Timothée Papin & Gabriel Turinici, 2014. "Prepayment option of a perpetual corporate loan: the impact of the funding costs," Post-Print hal-00768571, HAL.
10. Milan Kumar Das & Anindya Goswami, 2018. "Testing of Binary Regime Switching Models using Squeeze Duration Analysis," Papers 1807.04393, arXiv.org, revised Aug 2018.
11. Lian, Yu-Min & Chen, Jun-Home, 2021. "Pricing virtual currency-linked derivatives with time-inhomogeneity," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 424-439.
12. Siu, Tak Kuen, 2023. "European option pricing with market frictions, regime switches and model uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 233-250.
13. Papin, Timothée, 2013. "Pricing of Corporate Loan : Credit Risk and Liquidity cost," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/12545 edited by Turinici, Gabriel.
14. Son-Nan Chen & Pao-Peng Hsu & Chang-Yi Li, 2016. "Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 573-592, April.
15. Lian, Yu-Min & Chen, Jun-Home, 2022. "Foreign exchange option pricing under regime switching with asymmetrical jumps," Finance Research Letters, Elsevier, vol. 46(PA).
16. repec:hal:wpaper:hal-00768571 is not listed on IDEAS
17. Anindya Goswami & Omkar Manjarekar & Anjana R, 2018. "Option Pricing in a Regime Switching Jump Diffusion Model," Papers 1811.11379, arXiv.org, revised Oct 2019.
18. Lian, Yu-Min & Chen, Jun-Home, 2023. "Valuation of chooser options with state-dependent risks," Finance Research Letters, Elsevier, vol. 52(C).
19. Xin-Jiang He & Song-Ping Zhu, 2019. "Variance And Volatility Swaps Under A Two-Factor Stochastic Volatility Model With Regime Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-19, June.
20. Lian, Yu-Min & Chen, Jun-Home & Liao, Szu-Lang, 2024. "Pricing derivatives on foreign assets using Markov-modulated cojump-diffusion dynamics," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 503-519.
21. Timothée Papin & Gabriel Turinici, 2013. "Valuation of the Prepayment Option of a Perpetual Corporate Loan," Post-Print hal-00653041, HAL.
22. Anindya Goswami & Kedar Nath Mukherjee & Irvine Homi Patalwala & Sanjay N. S, 2022. "Regime recovery using implied volatility in Markov modulated market model," Papers 2201.10304, arXiv.org, revised Mar 2022.
23. Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming, 2014. "Pricing foreign equity options with regime-switching," Economic Modelling, Elsevier, vol. 37(C), pages 296-305.
24. Anatoliy Swishchuk & Maksym Tertychnyi & Winsor Hoang, 2014. "Currency Derivatives Pricing for Markov-modulated Merton Jump-diffusion Spot Forex Rate," Papers 1402.2273, arXiv.org.
25. Lian, Yu-Min & Chen, Jun-Home & Liao, Szu-Lang, 2016. "Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy," Finance Research Letters, Elsevier, vol. 16(C), pages 208-219.
26. repec:dau:papers:123456789/7818 is not listed on IDEAS
27. Biswas, Arunangshu & Goswami, Anindya & Overbeck, Ludger, 2018. "Option pricing in a regime switching stochastic volatility model," Statistics & Probability Letters, Elsevier, vol. 138(C), pages 116-126.
28. Arunangshu Biswas & Anindya Goswami & Ludger Overbeck, 2017. "Option Pricing in a Regime Switching Stochastic Volatility Model," Papers 1707.01237, arXiv.org, revised Jan 2018.
29. Su, Xiaonan & Wang, Wensheng & Hwang, Kyo-Shin, 2012. "Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility," Statistics & Probability Letters, Elsevier, vol. 82(10), pages 1777-1785.
30. Siu, Tak Kuen, 2016. "A self-exciting threshold jump–diffusion model for option valuation," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 168-193.
31. Bo, Lijun & Wang, Yongjin & Yang, Xuewei, 2010. "Markov-modulated jump-diffusions for currency option pricing," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 461-469, June.