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Option pricing under regime-switching models: Novel approaches removing path-dependence

  • Published:2019-07 Issue: Volume:87 Page:130-142
  • ISSN:0167-6687
  • Container-title:Insurance: Mathematics and Economics
  • language:en
  • Short-container-title:Insurance: Mathematics and Economics

Author:

Godin Frédéric,Lai Van Son,Trottier Denis-Alexandre

Funder

Montréal Exchange

Autorité des Marchés Financiers

Natural Sciences and Engineering Research Council of Canada (NSERC)

Fonds de Recherche du Québec - Nature et Technologies (FRQNT)

Social Sciences and Humanities Research Council of Canada (SSHRC)

Fonds Conrad Leblanc

Fonds de Recherche du Québec - Société et Culture

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference54 articles.

1. Regime changes and financial markets;Ang;Ann. Rev. Financ. Econom.,2012

2. Hedging costs for variable annuities under regime-switching;Azimzadeh,2014

3. Bégin, J.-F., Gauthier, G., 2017. Price Bias and Common Practice in Option Pricing, Working paper. Simon Fraser University.

4. Valuing options in regime-switching models;Bollen;J. Derivat.,1998

5. Pricing exotic options under regime switching;Boyle;Insurance Math. Econom.,2007

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