Asymptotic analysis of option pricing in a Markov modulated market

Operations Research Letters ◽

10.1016/j.orl.2009.06.005 ◽

2009 ◽

Vol 37 (6) ◽

pp. 415-419 ◽

Author(s):

Arnab Basu ◽

Mrinal K. Ghosh

Keyword(s):

Asymptotic Analysis ◽

Option Pricing ◽

Markov Modulated

Download Full-text

An Asymptotic Analysis of a Queueing System with Markov-Modulated Arrivals

Operations Research ◽

10.1287/opre.34.1.105 ◽

1986 ◽

Vol 34 (1) ◽

pp. 105-119 ◽

Author(s):

David Y. Burman ◽

Donald R. Smith

Keyword(s):

Asymptotic Analysis ◽

Queueing System ◽

Markov Modulated

Download Full-text

Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2019.01.044 ◽

2019 ◽

Vol 357 ◽

pp. 146-160 ◽

Author(s):

Jiayong Bao ◽

Yuexu Zhao

Keyword(s):

Option Pricing ◽

Interest Rates ◽

Stochastic Interest Rates ◽

Stochastic Interest ◽

Exponential Lévy Models ◽

Markov Modulated

Download Full-text

European option pricing with transaction costs and stochastic volatility: an asymptotic analysis

IMA Journal of Applied Mathematics ◽

10.1093/imamat/hxu033 ◽

2014 ◽

Vol 80 (4) ◽

pp. 981-1008 ◽

Author(s):

R. E. Caflisch ◽

G. Gambino ◽

M. Sammartino ◽

C. Sgarra

Keyword(s):

Asymptotic Analysis ◽

Option Pricing ◽

Transaction Costs ◽

Stochastic Volatility ◽

European Option ◽

European Option Pricing

Download Full-text

Option pricing and hedging in different cyclical structures: a two-dimensional Markov-modulated model

European Journal of Finance ◽

10.1080/1351847x.2018.1538895 ◽

2018 ◽

Vol 25 (8) ◽

pp. 762-779

Author(s):

Son-Nan Chen ◽

Pao-Peng Hsu ◽

Kuo-Yuan Liang

Keyword(s):

Option Pricing ◽

Two Dimensional ◽

Markov Modulated

Download Full-text

Multivariate European option pricing in a Markov-modulated Lévy framework

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2016.11.040 ◽

2017 ◽

Vol 317 ◽

pp. 171-187 ◽

Author(s):

Griselda Deelstra ◽

Matthieu Simon

Keyword(s):

Option Pricing ◽

European Option ◽

European Option Pricing ◽

Markov Modulated

Download Full-text

Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy

Finance Research Letters ◽

10.1016/j.frl.2015.12.005 ◽

2016 ◽

Vol 16 ◽

pp. 208-219 ◽

Author(s):

Yu-Min Lian ◽

Jun-Home Chen ◽

Szu-Lang Liao

Keyword(s):

Option Pricing ◽

Market Economy ◽

Foreign Exchange ◽

Incomplete Market ◽

Markov Modulated

Download Full-text

Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility

Statistics & Probability Letters ◽

10.1016/j.spl.2012.05.026 ◽

2012 ◽

Vol 82 (10) ◽

pp. 1777-1785 ◽

Author(s):

Xiaonan Su ◽

Wensheng Wang ◽

Kyo-Shin Hwang

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Diffusion Model ◽

Jump Diffusion ◽

Jump Diffusion Model ◽

Markov Modulated

Download Full-text

Barrier option pricing for assets with Markov-modulated dividends

The Journal of Computational Finance ◽

10.21314/jcf.2006.151 ◽

2006 ◽

Vol 9 (4) ◽

pp. 75-87 ◽

Author(s):

Giuseppe Di Graziano ◽

L. C. G. Rogers

Keyword(s):

Option Pricing ◽

Barrier Option ◽

Markov Modulated ◽

Barrier Option Pricing

Download Full-text

The Asian Option Pricing when Discrete Dividends Follow a Markov-Modulated Model

Open Journal of Statistics ◽

10.4236/ojs.2017.76074 ◽

2017 ◽

Vol 07 (06) ◽

pp. 1067-1080

Author(s):

Yingyi Fang ◽

Huisheng Shu ◽

Xiu Kan ◽

Xin Zhang ◽

Zhiwei Zheng

Keyword(s):

Option Pricing ◽

Asian Option ◽

Discrete Dividends ◽

Markov Modulated

Download Full-text

Risk Minimizing Option Pricing in a Semi-Markov Modulated Market

SIAM Journal on Control and Optimization ◽

10.1137/080716839 ◽

2009 ◽

Vol 48 (3) ◽

pp. 1519-1541 ◽

Author(s):

Mrinal K. Ghosh ◽

Anindya Goswami

Keyword(s):

Option Pricing ◽

Markov Modulated

Download Full-text