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Option pricing under regime switching

Citations

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Cited by:

  1. Adam W. Kolkiewicz & Fangyuan Sally Lin, 2017. "Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes," North American Actuarial Journal, Taylor & Francis Journals, vol. 21(3), pages 433-457, July.
  2. Godin, Frédéric & Trottier, Denis-Alexandre, 2021. "Option pricing in regime-switching frameworks with the Extended Girsanov Principle," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 116-129.
  3. Chien-Hsiu Lin & Shih-Kuei Lin & An-Chi Wu, 2015. "Foreign exchange option pricing in the currency cycle with jump risks," Review of Quantitative Finance and Accounting, Springer, vol. 44(4), pages 755-789, May.
  4. Rossi, Alessandro & Gallo, Giampiero M., 2006. "Volatility estimation via hidden Markov models," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 203-230, March.
  5. Wei Wang & Linyi Qian & Wensheng Wang, 2016. "Hedging of contingent claims written on non traded assets under Markov-modulated models," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(12), pages 3577-3595, June.
  6. Yang, Aijun & Liu, Yue & Xiang, Ju & Yang, Hongqiang, 2016. "Optimal buying at the global minimum in a regime switching model," Mathematical Social Sciences, Elsevier, vol. 84(C), pages 50-55.
  7. Roy H. Kwon & Jonathan Y. Li, 2016. "A stochastic semidefinite programming approach for bounds on option pricing under regime switching," Annals of Operations Research, Springer, vol. 237(1), pages 41-75, February.
  8. 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.
  9. 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.
  10. François, Pascal & Gauthier, Geneviève & Godin, Frédéric, 2014. "Optimal hedging when the underlying asset follows a regime-switching Markov process," European Journal of Operational Research, Elsevier, vol. 237(1), pages 312-322.
  11. Kuang-Liang Chang & Nan-Kuang Chen & Charles Leung, 2011. "Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock," The Journal of Real Estate Finance and Economics, Springer, vol. 43(1), pages 221-257, July.
  12. Su, EnDer & Wen Wong, Kai, 2019. "Testing the alternative two-state options pricing models: An empirical analysis on TXO," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 101-116.
  13. Kai Zheng & Weidong Xu & Xili Zhang, 2023. "Multivariate Regime Switching Model Estimation and Asset Allocation," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 165-196, January.
  14. Chun-Hung Chiu & Shui-Hung Hou & Xun Li & Wei Liu, 2017. "Real options approach for fashionable and perishable products using stock loan with regime switching," Annals of Operations Research, Springer, vol. 257(1), pages 357-377, October.
  15. Julia Eisenberg & Paul Kruhner, 2016. "The Impact of Negative Interest Rates on Optimal Capital Injections," Papers 1612.06654, arXiv.org.
  16. Pascal François & Geneviève Gauthier & Frédéric Godin, 2012. "Optimal Hedging when the Underlying Asset Follows a Regime-switching Markov Process," Cahiers de recherche 1234, CIRPEE.
  17. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working Papers 2006-28, Center for Research in Economics and Statistics.
  18. Yuji Yamada & Takuji Matsumoto, 2021. "Going for Derivatives or Forwards? Minimizing Cashflow Fluctuations of Electricity Transactions on Power Markets," Energies, MDPI, vol. 14(21), pages 1-28, November.
  19. Rachidi Kotchoni, 2018. "Detecting and Measuring Nonlinearity," Econometrics, MDPI, vol. 6(3), pages 1-27, August.
  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. Godin, Frédéric & Lai, Van Son & Trottier, Denis-Alexandre, 2019. "Option pricing under regime-switching models: Novel approaches removing path-dependence," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 130-142.
  22. Tian, Ping & Zhou, Hang & Zhou, Duotai, 2023. "Analysis about the Black-Scholes asset price under the regime-switching framework," International Review of Financial Analysis, Elsevier, vol. 88(C).
  23. 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.
  24. Ozge Sezgin Alp, 2016. "The Performance of Skewness and Kurtosis Adjusted Option Pricing Model in Emerging Markets: A case of Turkish Derivatives Market," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 5(3), pages 70-84, April.
  25. Jean-Philippe Aguilar & Jan Korbel & Yuri Luchko, 2019. "Applications of the Fractional Diffusion Equation to Option Pricing and Risk Calculations," Mathematics, MDPI, vol. 7(9), pages 1-23, September.
  26. Jin-Chuan Duan & Peter H. Ritchken & Zhiqiang Sun, 2006. "Jump starting GARCH: pricing and hedging options with jumps in returns and volatilities," Working Papers (Old Series) 0619, Federal Reserve Bank of Cleveland.
  27. Boyle, Phelim & Draviam, Thangaraj, 2007. "Pricing exotic options under regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 267-282, March.
  28. Kyriakos Georgiou & Athanasios N. Yannacopoulos, 2023. "Probability of Default modelling with L\'evy-driven Ornstein-Uhlenbeck processes and applications in credit risk under the IFRS 9," Papers 2309.12384, arXiv.org.
  29. Pier Francesco Procacci & Tomaso Aste, 2018. "Forecasting market states," Papers 1807.05836, arXiv.org, revised May 2019.
  30. Chen Tong & Peter Reinhard Hansen & Zhuo Huang, 2022. "Option pricing with state‐dependent pricing kernel," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1409-1433, August.
  31. Zhengjun Jiang & Martijn Pistorius, 2008. "Optimal dividend distribution under Markov-regime switching," Papers 0812.4978, arXiv.org, revised Apr 2011.
  32. Michael C. Fu & Bingqing Li & Rongwen Wu & Tianqi Zhang, 2020. "Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model," Papers 2006.15054, arXiv.org.
  33. En-Der Su & Feng-Jeng Lin, 2012. "Two-State Volatility Transition Pricing and Hedging of TXO Options," Computational Economics, Springer;Society for Computational Economics, vol. 39(3), pages 259-287, March.
  34. Shin-Yun Wang & Ming-Che Chuang & Shih-Kuei Lin & So-De Shyu, 2021. "Option pricing under stock market cycles with jump risks: evidence from the S&P 500 index," Review of Quantitative Finance and Accounting, Springer, vol. 56(1), pages 25-51, January.
  35. 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.
  36. Huang, Jia-Ping & Sumita, Ushio, 2015. "Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions," Applied Mathematics and Computation, Elsevier, vol. 251(C), pages 453-468.
  37. Zhengjun Jiang & Martijn Pistorius, 2012. "Optimal dividend distribution under Markov regime switching," Finance and Stochastics, Springer, vol. 16(3), pages 449-476, July.
  38. Jean-Philippe Aguilar & Jan Korbel, 2019. "Simple Formulas for Pricing and Hedging European Options in the Finite Moment Log-Stable Model," Risks, MDPI, vol. 7(2), pages 1-14, April.
  39. Jang, Bong-Gyu & Tae, Hyeon-Wuk, 2018. "Option pricing under regime switching: Integration over simplexes method," Finance Research Letters, Elsevier, vol. 24(C), pages 301-312.
  40. Roy Kwon & Jonathan Li, 2016. "A stochastic semidefinite programming approach for bounds on option pricing under regime switching," Annals of Operations Research, Springer, vol. 237(1), pages 41-75, February.
  41. Eisenberg, Julia & Krühner, Paul, 2018. "The impact of negative interest rates on optimal capital injections," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 1-10.
  42. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44, Edward Elgar Publishing.
  43. Ma, Jingtang & Li, Wenyuan & Han, Xu, 2015. "Stochastic lattice models for valuation of volatility options," Economic Modelling, Elsevier, vol. 47(C), pages 93-104.
  44. Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias, 2014. "Are regime-shift sources of risk priced in the market?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 151-170.
  45. Forsyth, Peter & Vetzal, Kenneth, 2014. "An optimal stochastic control framework for determining the cost of hedging of variable annuities," Journal of Economic Dynamics and Control, Elsevier, vol. 44(C), pages 29-53.
  46. Hiroshi Ishijima & Masaki Uchida, 2011. "Log Mean-Variance Portfolio Selection Under Regime Switching," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(2), pages 213-229, May.
  47. Bong-Gyu Jang & Kum-Hwan Roh, 2009. "Valuing qualitative options with stochastic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 819-825.
  48. Vanden, Joel M., 2005. "Equilibrium analysis of volatility clustering," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 374-417, June.
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