Pricing exotic options under regime switching

By Phelim P. Boyle, Thangaraj Draviam. 2007

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Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (2020, unknown): “…Boyarchenko and Levendorskii (2008), Boyarchenko and Levendorskii (2009), Boyarchenko and Levendorskii (2013), only a handful of papers discuss the pricing of Asian options under regime switching models, such as Boyle and Draviam (2007), Yuen and Yang (2012), and very recently, Zhou and Ma (2016).”
Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals (2009, methodology): “…in Hamilton (1989), the concept of regime switching has since been used extensively when modelling both interest rates (Choi, 2004; Gray, 1996; Wu and Zeng, 2005) and pricing option contracts (Bollen, 1998; Boyle and Draviam, 2007; Buffington and Elliott, 2002; Duan et al., 2002; Yao et al., 2006).”
Mortality Regimes and Pricing (2011, unknown): “…(Hardy 2001; Yuen and Yang 2010; Modisett and Maboudou-Tchao 2010), asset allocation (Boyle and Liew 2007), options (e.g., Naik 1993; Bollen 1998; Boyle and Draviam 2007), credit risk (Siu et al. 2008), claim counts (Lu and Garrido 2006), equity prices in response to information about changes in…”