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Option Pricing for Pure Jump Processes with Markov Switching Compensators

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Cited by:

  1. Xiangdong Liu & Zanbin Zhang, 2023. "Pricing European Vulnerable Options with Jumps and Stochastic Default Obstacles Barrier under Regime Switching," Mathematics, MDPI, vol. 11(19), pages 1-18, October.
  2. Patrick Assonken & G. S. Ladde, 2015. "Option Pricing With A Levy-Type Stochastic Dynamic Model For Stock Price Process Under Semi-Markovian Structural Perturbations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-72, December.
  3. Romuald Momeya & Zied Salah, 2012. "The Minimal Entropy Martingale Measure (MEMM) for a Markov-Modulated Exponential Lévy Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(1), pages 63-98, March.
  4. Siu, Tak Kuen, 2008. "A game theoretic approach to option valuation under Markovian regime-switching models," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1146-1158, June.
  5. 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.
  6. Dilip B. Madan & Wim Schoutens, 2019. "Arbitrage Free Approximations to Candidate Volatility Surface Quotations," JRFM, MDPI, vol. 12(2), pages 1-21, April.
  7. Kurt, Kevin & Frey, Rüdiger, 2022. "Markov-modulated affine processes," Stochastic Processes and their Applications, Elsevier, vol. 153(C), pages 391-422.
  8. Suhan Altay & Katia Colaneri & Zehra Eksi, 2017. "Portfolio optimization for a large investor controlling market sentiment under partial information," Papers 1706.03567, arXiv.org.
  9. 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.
  10. Anatoliy Swishchuk & Maksym Tertychnyi & Robert Elliott, 2014. "Pricing Currency Derivatives with Markov-modulated Levy Dynamics," Papers 1402.1953, arXiv.org.
  11. Shih-Kuei Lin & Yu-Min Lian & Szu-Lang Liao, 2014. "Pricing gold options under Markov-modulated jump-diffusion processes," Applied Financial Economics, Taylor & Francis Journals, vol. 24(12), pages 825-836, June.
  12. Kevin Kurt & Rudiger Frey, 2021. "Markov-Modulated Affine Processes," Papers 2106.16240, arXiv.org, revised Aug 2022.
  13. Lijun Bo & Yongjin Wang & Xuewei Yang, 2014. "On the Default Probability in a Regime-Switching Regulated Market," Methodology and Computing in Applied Probability, Springer, vol. 16(1), pages 101-113, March.
  14. Jun Yu, 2014. "Optimal Asset-Liability Management for an Insurer Under Markov Regime Switching Jump-Diffusion Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(4), pages 317-330, November.
  15. Serrano, Rafael, 2023. "Climbing the income ladder: Search and investment in a regime-switching affine income model," Finance Research Letters, Elsevier, vol. 58(PA).
  16. Robert Elliott & Leunglung Chan & Tak Siu, 2006. "Risk measures for derivatives with Markov-modulated pure jump processes," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(2), pages 129-149, June.
  17. 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.
  18. Lian, Yu-Min & Liao, Szu-Lang & Chen, Jun-Home, 2015. "State-dependent jump risks for American gold futures option pricing," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 115-133.
  19. Robert J. Elliott & Katsumasa Nishide & Carlton‐James U. Osakwe, 2016. "Heston‐Type Stochastic Volatility with a Markov Switching Regime," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(9), pages 902-919, September.
  20. Lau, John W. & Siu, Tak Kuen, 2008. "On option pricing under a completely random measure via a generalized Esscher transform," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 99-107, August.
  21. Anatoliy Swishchuk & Maksym Tertychnyi & Winsor Hoang, 2014. "Currency Derivatives Pricing for Markov-modulated Merton Jump-diffusion Spot Forex Rate," Papers 1402.2273, arXiv.org.
  22. Alessandro Ramponi, 2011. "Mixture Dynamics and Regime Switching Diffusions with Application to Option Pricing," Methodology and Computing in Applied Probability, Springer, vol. 13(2), pages 349-368, June.
  23. Pious Asiimwe & Charles Wilson Mahera & Olivier Menoukeu-Pamen, 2016. "On the Price of Risk Under a Regime Switching CGMY Process," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(4), pages 305-335, December.
  24. Lioudmila Vostrikova & Yuchao Dong, 2018. "Utility maximization for Lévy switching models," Working Papers hal-01844635, HAL.
  25. Misha Beek & Michel Mandjes & Peter Spreij & Erik Winands, 2020. "Regime switching affine processes with applications to finance," Finance and Stochastics, Springer, vol. 24(2), pages 309-333, April.
  26. Romuald Hervé Momeya & Manuel Morales, 2016. "On the Price of Risk of the Underlying Markov Chain in a Regime-Switching Exponential Lévy Model," Methodology and Computing in Applied Probability, Springer, vol. 18(1), pages 107-135, March.
  27. Chen, Jun-Home & Lian, Yu-Min & Liao, Szu-Lang, 2022. "Pricing catastrophe equity puts with counterparty risks under Markov-modulated, default-intensity processes," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
  28. Lian, Yu-Min & Chen, Jun-Home, 2023. "Valuation of chooser options with state-dependent risks," Finance Research Letters, Elsevier, vol. 52(C).
  29. 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.
  30. 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.
  31. 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.
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