IDEAS home Printed from https://ideas.repec.org/r/eee/insuma/v46y2010i3p461-469.html
   My bibliography  Save this item

Markov-modulated jump-diffusions for currency option pricing

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


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. Hsu, Yuan-Lin & Lin, Shih-Kuei & Hung, Ming-Chin & Huang, Tzu-Hui, 2016. "Empirical analysis of stock indices under a regime-switching model with dependent jump size risks," Economic Modelling, Elsevier, vol. 54(C), pages 260-275.
  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. Chang-Yi Li & Son-Nan Chen & Shih-Kuei Lin, 2016. "Pricing derivatives with modeling CO emission allowance using a regime-switching jump diffusion model: with regime-switching risk premium," The European Journal of Finance, Taylor & Francis Journals, vol. 22(10), pages 887-908, August.
  6. Anatoliy Swishchuk & Maksym Tertychnyi & Robert Elliott, 2014. "Pricing Currency Derivatives with Markov-modulated Levy Dynamics," Papers 1402.1953, arXiv.org.
  7. 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.
  8. Milan Kumar Das & Anindya Goswami, 2018. "Testing of Binary Regime Switching Models using Squeeze Duration Analysis," Papers 1807.04393, arXiv.org, revised Aug 2018.
  9. 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.
  10. Wenhan Li & Cuixiang Li & Lixia Liu & Mengna Wang, 2021. "Foreign Currency Power Option Pricing Based on Esscher Transform," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 535-548, August.
  11. 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.
  12. Lian, Yu-Min & Chen, Jun-Home, 2022. "Foreign exchange option pricing under regime switching with asymmetrical jumps," Finance Research Letters, Elsevier, vol. 46(PA).
  13. Lian, Yu-Min & Chen, Jun-Home, 2020. "Joint dynamic modeling and option pricing in incomplete derivative-security market," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  14. Lian, Yu-Min & Chen, Jun-Home, 2023. "Valuation of chooser options with state-dependent risks," Finance Research Letters, Elsevier, vol. 52(C).
  15. Olivier Courtois & Xiaoshan Su, 2020. "Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(4), pages 477-520, December.
  16. Xu, Guangli & Wang, Yongjin, 2016. "On stability of the Markov-modulated skew CIR process," Statistics & Probability Letters, Elsevier, vol. 109(C), pages 139-144.
  17. Mi-Hsiu Chiang & Chang-Yi Li & Son-Nan Chen, 2016. "Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy," Review of Quantitative Finance and Accounting, Springer, vol. 46(3), pages 459-482, April.
  18. Chang, Charles & Fuh, Cheng-Der & Lin, Shih-Kuei, 2013. "A tale of two regimes: Theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3204-3217.
  19. Milan Kumar Das & Anindya Goswami & Sharan Rajani, 2023. "Inference of Binary Regime Models with Jump Discontinuities," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 49-86, May.
  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. Milan Kumar Das & Anindya Goswami & Sharan Rajani, 2019. "Inference of Binary Regime Models with Jump Discontinuities," Papers 1910.10606, arXiv.org, revised Mar 2022.
  22. Rulu Huang, 2012. "Studies on the Change Mechanism of RMB Exchange Rate with Non-Recurrent Events," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 3(1), pages 49-56, January.
  23. Chen, Son-Nan & Chiang, Mi-Hsiu & Hsu, Pao-Peng & Li, Chang-Yi, 2014. "Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model," Finance Research Letters, Elsevier, vol. 11(2), pages 161-172.
  24. 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.
  25. Anqi Zou & Jiajie Wang & Chiye Wu, 2023. "Pricing Variance Swaps under MRG Model with Regime-Switching: Discrete Observations Case," Mathematics, MDPI, vol. 11(12), pages 1-30, June.
  26. 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.
  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. Ayub Ahmadi & Mahdieh Tahmasebi, 2024. "Pricing and delta computation in jump-diffusion models with stochastic intensity by Malliavin calculus," Papers 2405.00473, arXiv.org.
  30. Cox, Samuel H. & Lin, Yijia & Shi, Tianxiang, 2018. "Pension risk management with funding and buyout options," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 183-200.
  31. Lin, Shih-Kuei & Peng, Jin-Lung & Chao, Wei-Hsiung & Wu, An-Chi, 2016. "The extension from independence to dependence between jump frequency and jump size in Markov-modulated jump diffusion models," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 217-235.
  32. Jessica Pesantez-Narvaez & Montserrat Guillen & Manuela Alcañiz, 2021. "RiskLogitboost Regression for Rare Events in Binary Response: An Econometric Approach," Mathematics, MDPI, vol. 9(5), pages 1-21, March.
  33. David Liu, 2020. "Markov modulated jump-diffusions for currency options when regime switching risk is priced," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(04), pages 1-26, February.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.