Option Pricing Under Jump-Diffusion Processes with Regime Switching

Methodology And Computing In Applied Probability ◽

10.1007/s11009-015-9462-7 ◽

2015 ◽

Vol 18 (3) ◽

pp. 829-845 ◽

Author(s):

Nikita Ratanov

Keyword(s):

Option Pricing ◽

Regime Switching ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

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A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump–diffusion processes

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2020.113132 ◽

2021 ◽

Vol 383 ◽

pp. 113132

Author(s):

Z. Ahmadi ◽

S.M. Hosseini ◽

A. Foroush Bastani

Keyword(s):

Option Pricing ◽

Regime Switching ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

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Stability of regime-switching jump diffusion processes

Journal of Mathematical Analysis and Applications ◽

10.1016/j.jmaa.2019.123727 ◽

2020 ◽

Vol 484 (1) ◽

pp. 123727 ◽

Author(s):

Huijie Ji ◽

Jinghai Shao ◽

Fubao Xi

Keyword(s):

Regime Switching ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

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Perpetual debt pricing under jump diffusion processes with regime switching

2011 2nd International Conference on Artificial Intelligence, Management Science and Electronic Commerce (AIMSEC) ◽

10.1109/aimsec.2011.6011046 ◽

2011 ◽

Author(s):

XianFeng Jiang ◽

YiFeng He

Keyword(s):

Regime Switching ◽

Diffusion Processes ◽

Jump Diffusion ◽

Debt Pricing ◽

Jump Diffusion Processes

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A power penalty approach to american option pricing with jump diffusion processes

Journal of Industrial & Management Optimization ◽

10.3934/jimo.2008.4.783 ◽

2008 ◽

Vol 4 (4) ◽

pp. 783-799 ◽

Author(s):

Kai Zhang ◽

◽

Xiaoqi Yang ◽

Kok Lay Teo ◽

◽

...

Keyword(s):

Option Pricing ◽

Diffusion Processes ◽

Jump Diffusion ◽

American Option ◽

American Option Pricing ◽

Power Penalty ◽

Penalty Approach ◽

Jump Diffusion Processes

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The calibration of volatility for option pricing models with jump diffusion processes

Applicable Analysis ◽

10.1080/00036811.2017.1403588 ◽

2017 ◽

Vol 98 (4) ◽

pp. 810-827 ◽

Author(s):

Zuoliang Xu ◽

Xiangyu Jia

Keyword(s):

Option Pricing ◽

Diffusion Processes ◽

Jump Diffusion ◽

Pricing Models ◽

Jump Diffusion Processes

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On Feller and strong Feller properties and irreducibility of regime-switching jump diffusion processes with countable regimes

Nonlinear Analysis Hybrid Systems ◽

10.1016/j.nahs.2020.100946 ◽

2020 ◽

Vol 38 ◽

pp. 100946

Author(s):

Khwanchai Kunwai ◽

Chao Zhu

Keyword(s):

Regime Switching ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

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Optimal uniform error estimates for moving least‐squares collocation with application to option pricing under jump‐diffusion processes

Numerical Methods for Partial Differential Equations ◽

10.1002/num.22520 ◽

2020 ◽

Vol 37 (1) ◽

pp. 98-117

Author(s):

Mohammad Shirzadi ◽

Mehdi Dehghan ◽

Ali Foroush Bastani

Keyword(s):

Option Pricing ◽

Least Squares ◽

Error Estimates ◽

Diffusion Processes ◽

Jump Diffusion ◽

Moving Least Squares ◽

Least Squares Collocation ◽

Uniform Error ◽

Jump Diffusion Processes ◽

Uniform Error Estimates

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APPROXIMATING GARCH-JUMP MODELS, JUMP-DIFFUSION PROCESSES, AND OPTION PRICING

Mathematical Finance ◽

10.1111/j.1467-9965.2006.00259.x ◽

2006 ◽

Vol 16 (1) ◽

pp. 21-52 ◽

Author(s):

Jin-Chuan Duan ◽

Peter Ritchken ◽

Zhiqiang Sun

Keyword(s):

Option Pricing ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

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A high order finite element scheme for pricing options under regime switching jump diffusion processes

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2015.12.019 ◽

2016 ◽

Vol 300 ◽

pp. 83-96 ◽

Author(s):

Nisha Rambeerich ◽

Athanasios A. Pantelous

Keyword(s):

Finite Element ◽

Regime Switching ◽

Diffusion Processes ◽

Jump Diffusion ◽

Finite Element Scheme ◽

Element Scheme ◽

Pricing Options ◽

Jump Diffusion Processes

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Option Pricing Under Jump-Diffusion Processes

Dynamic Modeling and Econometrics in Economics and Finance - Derivative Security Pricing ◽

10.1007/978-3-662-45906-5_13 ◽

2015 ◽

pp. 273-293

Author(s):

Carl Chiarella ◽

Xue-Zhong He ◽

Christina Sklibosios Nikitopoulos

Keyword(s):

Option Pricing ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

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