Option pricing and Esscher transform under regime switching

By Robert J. R. Elliott, Leunglung Chan, Tak Kuen Siu. 2005

455 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/65efcc6e550f815293c55d2b840206a31d4f6afc

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Citations in the corpus

An optimal stochastic control framework for determining the cost of hedging of variable annuities (2014, background): “This results in a parsimonious representation that in principle can 212 account for random changes in volatility and interest rates (Hardy, 2001). In the context of pricing 213 standard options, such models are discussed in sources such as Naik (1993), Bollen (1998), Duan 214 et al.”
Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (2007, unknown): “( 2005 ) to determine a martingale pricing measure for the valuation of variance and volatility swaps.”
Hidden Markov models with threshold effects and their applications to oil price forecasting (2016, methodology): “[5, 19] study the application of HMMs in option pricing.”
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).”
Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2013, methodology): “In this way, the unconditional pricing formula of Elliott et al. (2007) can be written asy”
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (2020, unknown): “…short rates (Siu 2010), portfolio selection (Zhang et al. 2012), and option pricing (Elliott et al. 2007; Yuen and Yang 2009; Liu 2010; Ramponi 2012; Zhang et al. 2012; Fard and Siu 2013; Florescu et al. 2013; Costabile et al. 2014; Jiang et al. 2016; Elliott et al. 2005; Zhang and Chan 2016).”
A radial basis collocation method for pricing American options under regime-switching jump-diffusion models (2013, methodology): “[7] study the pricing of European options under Markov-modulated geometric Brownian motion using regime-switching random Esscher transform method.”
Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model (2007, background): “[10] investigated the option pricing problem in an incomplete market modelled a Markov-modulated GBM for stock returns.”
Fair valuation of participating policies with surrender options and regime switching (2005, unknown): “In this way, as noted by Grosen and Jørgensen (2000), we can adopt arbitrage pricing models in mathematical finance for our analysis. Grosen and Jørgensen (2000) mentioned that the actual interest rate crediting mechanism cR can be specified as a function cR(A, R) of the asset base A and the policy ”
On a reduced form credit risk model with common shock and regime switching (2012, background): “See, for example, Buffngton and Elliott (2002), Elliott et al. (2005), Zhu and Yang (2008), Chen et al. (2008), Chen and Yang (2010), Capponi and Figueroa-López (2011).”
Monte Carlo and Quasi-Monte Carlo Sampling (2009, methodology): “In [103], option pricing formulas are derived under a risk-neutral probability measure for which the underlying asset obeys the SDE”