A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps-Reference-Cited by-同舟云学术

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A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps

Published:2020-10-14 Issue: Volume: Page:1-12
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Lyu Jianping¹,Ma Yong¹^ORCID,Sun Wei²³

Affiliation:

1. College of Finance and Statistics, Hunan University, Changsha, PR China

2. School of Mathematics and Statistics, Shandong University, Weihai, PR China

3. School of Mechanics, Electrical and Information Engineering, Shandong University, Weihai, PR China

Funder

National Natural Science Foundation of China

Hunan Provincial Natural Science Foundation of China

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2020.1833221

Reference26 articles.

1. Empirical Performance of Alternative Option Pricing Models

2. Option pricing in a regime switching stochastic volatility model

3. The Pricing of Options and Corporate Liabilities

4. Portfolio Selection with Capital Gains Tax, Recursive Utility, and Regime Switching

5. Option Pricing Under a Mixed-Exponential Jump Diffusion Model

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1. Analytically pricing foreign exchange options under a three-factor stochastic volatility and interest rate model: A full correlation structure;Expert Systems with Applications;2024-07

2. Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate;International Journal of Computer Mathematics;2024-03-03

3. Pricing of European currency options considering the dynamic information costs;Global Finance Journal;2023-11

4. Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm;Mathematics and Computers in Simulation;2023-02

5. Valuation of European crude oil options with co-jump diffusions and stochastic interest rate;Journal of Industrial and Management Optimization;2023

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