Pricing Equity-indexed Annuities When Discrete Dividends Follow a Markov-Modulated Jump Diffusion Model

2015 ◽  
Vol 44 (11) ◽  
pp. 2207-2221 ◽  
Author(s):  
Huahui Yan ◽  
Huisheng Shu ◽  
Xiu Kan
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
Jump Diffusion Model ◽  
Discrete Dividends ◽  
Markov Modulated

scholarly journals Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales

2019 ◽  
Vol 15 (1) ◽  
pp. 293-318 ◽  
Author(s):  
Qing-Qing Yang ◽  
◽  
Wai-Ki Ching ◽  
Wanhua He ◽  
Tak-Kuen Siu ◽  
...  
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
Fire Sales ◽  
Jump Diffusion Model ◽  
Markov Modulated ◽  
Vulnerable Options

Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model

2007 ◽  
Vol 25 (4) ◽  
pp. 821-843 ◽  
Author(s):  
Robert J. Elliott ◽  
Tak Kuen Siu ◽  
Leunglung Chan ◽  
John W. Lau
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
Pricing Options ◽  
Jump Diffusion Model ◽  
Markov Modulated
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