A Regime-Switching Model for European Options

By D. Yao, Qing Zhang, Xun Yu Zhou. 2006

149 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/92b4ff43a734f8a4d25be53f44e2f016246f617b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Abel Cadenillas
2. Luz R. Sotomayor

In Finance

1. Abel Cadenillas
2. Luz R. Sotomayor

Citations in the corpus

• EXPLICIT SOLUTIONS OF CONSUMPTION‐INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING (2009, background): “Option pricing in financial markets with regime switching has been studied, for instance, by Guo (2001), Guo and Shepp (2001), Buffington and Elliott (2002), Mamon and Rodrigo (2005), Guo and Zhang (2004), Yao, Zhang, and Zhou (2006), Di Graziano and Rogers (2006), and Jobert and Rogers (2006).”
• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (2020, unknown): “In addition, as illustrated in Yao et al. (2006) for example, regime switching models are able to generate the implied volatility smiles commonly observed in practice.”