Empirical analysis of SH50ETF and SH50ETF option prices under regime-switching jump-diffusion models-Reference-Cited by-同舟云学术

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Empirical analysis of SH50ETF and SH50ETF option prices under regime-switching jump-diffusion models

Published:2019-09-12 Issue:9 Volume:50 Page:2170-2187
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Han Miao¹,Song Xuefeng²,Wang Wei³,Zhou Shengwu¹

Affiliation:

1. School of Mathematics, China University of Mining and Technology, Xuzhou, China;

2. School of Management Science and Engineering, Nanjing University of Finance and Economics, Nanjing, China;

3. Department of Financial Engineering, Ningbo University, Ningbo, China

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2019.1662045

Reference26 articles.

1. Markov-modulated jump–diffusions for currency option pricing

2. Regime switching in foreign exchange rates:

3. Option valuation using the fast Fourier transform

4. A tale of two regimes: Theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications

5. Detecting log-periodicity in a regime-switching model of stock returns

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Optimal portfolio strategy of wealth process: a Lévy process model-based method;International Journal of Systems Science;2024-02-13

2. Option pricing with exchange rate risk under regime-switching multi-scale jump-diffusion models;Communications in Statistics - Theory and Methods;2022-10-10

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