Pricing and hedging for correlation options with regime switching and common jump risk-Reference-Cited by-同舟云学术

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Pricing and hedging for correlation options with regime switching and common jump risk

Published:2022-01-27 Issue: Volume: Page:1-21
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Su Xiaonan¹²,Han Miao³,Xing Yu²⁴,Wang Wei⁵

Affiliation:

1. School of Statistics and Data Science, Nanjing Audit University, Nanjing, China

2. Key Laboratory of Financial Engineering, Nanjing Audit University, Nanjing, China

3. School of Mathematics, China University of Mining and Technology, Xuzhou, China

4. School of Finance, Nanjing Audit University, Nanjing, China

5. School of Mathematics and Statistics, Ningbo University, Ningbo, China

Funder

the Philosophy and Social Science Research in Colleges and Universities of Jiangsu Province

the Humanity and Social Science Youth Foundation of the Ministry of Education of China

Open project of Jiangsu key laboratory of financial engineering

Natural Science Foundation of the Jiangsu Higher Education Institutions

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2022.2031219

Reference38 articles.

1. ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM

2. An extension of mean-variance hedging to the discontinuous case

3. Spanning and derivative-security valuation

4. The Pricing of Options and Corporate Liabilities

5. Option valuation using the fast Fourier transform

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