Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching-Reference-Cited by-同舟云学术

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Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching

Published:2017-09-22 Issue:2 Volume:53 Page:555-586
ISSN:0927-7099
Container-title:Computational Economics
language:en
Short-container-title:Comput Econ

Author:

Zhu Dong-Mei,Lu Jiejun,Ching Wai-Ki,Siu Tak-Kuen

Funder

Hong Kong Research Grant Council

Publisher

Springer Science and Business Media LLC

Subject

Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)

Link

http://link.springer.com/article/10.1007/s10614-017-9754-9/fulltext.html

Reference43 articles.

1. Bakshi, G., Cao, C., & Chen, Z. (1997). Empirical performance of alternative option pricing models. The Journal of Finance, 52, 2003–2049.

2. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637–654.

3. Buffington, J., & Elliott, R. J. (2002). American options with regime switching. International Journal of Theoretical and Applied Finance, 5, 497–514.

4. Carr, P., & Madan, D. (1999). Option valuation using the fast Fourier transform. Journal of Computational Finance, 2, 61–73.

5. Clark, J. (1978). The design of robust approximations to the stochastic differential equations of nonlinear filtering. Communication Systems and Random Process Theory, 25, 721–734.

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