American options with regime switching

By Jack Buffington, Robert J. R. Elliott. 2002

524 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/64b5e65a82fc33a5e940aacf31fed1becaee9d61

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Citations in the corpus

FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS (2011, methodology): “been a considerable progress in the pricing exercise for plain vanilla European or American style options: see e.g. Di Masi et al. (1994), Bollen (1998), Guo (2001), Hardy (2001), Duan et al. (2002), Buﬃngton and Elliott (2002), Konikov and Madan (2002), Guo and Zhang (2004), Chourdakis (2004,2007),”
Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model (2007, background): “Then, under , the dynamics of the stock price are: dSt = St− [ rtdt + J dt + tdW̃t + ∫ t eh z − 1 Ñ dt dz ] (3.25) Given knowledge of t = XT ∨ 1t ∨ 2t , the conditional price of a European-style option written on S with payoff V ST at maturity T is given by: V t T t = E [ exp ( − ∫ T t rudu ) V ST ”
Option pricing and Esscher transform under regime switching (2005, methodology): “From Buffington and Elliott [4, 5 ], the price of a European call option at time t with strike price K and maturity at time T is given by:”
Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003, background): “Elliott [3], and Yao, Zhang, and Zhou [26].”
Fair valuation of participating policies with surrender options and regime switching (2005, unknown): “As in Buffington and Elliott (2002), we consider the case that Z∗1(s) < Z ∗ 2(s), for s ∈ [t, T ].”
On Markov‐modulated Exponential‐affine Bond Price Formulae (2009, background): “Duffie and Kan (1996) present an important study on the relationship between the parametric assumptions for short rate dynamics and the form of bond price. They consider general continuous-time models for short rates and establish an important result, which states that if the price of a zero coupon ”
Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (2007, unknown): “The derivation of the regime switching version of the Feyman–Kac formula follows from the martingale approach and Ito's differentiation rule in Buffington and Elliott ( 2002a , b ).”
A stochastic differential game for optimal investment of an insurer with regime switching (2011, background): “Some papers include those of Naik (1993), Buffington and Elliott (2002) and Elliott et al. (2005).”