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

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

scholarly journals Multivariate European option pricing in a Markov-modulated Lévy framework

2017 ◽  
Vol 317 ◽  
pp. 171-187 ◽  
Author(s):  
Griselda Deelstra ◽  
Matthieu Simon
Keyword(s):  
Option Pricing ◽  
European Option ◽  
European Option Pricing ◽  
Markov Modulated

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

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

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

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

Asymptotic analysis of option pricing in a Markov modulated market

2009 ◽  
Vol 37 (6) ◽  
pp. 415-419 ◽  
Author(s):  
Arnab Basu ◽  
Mrinal K. Ghosh
Keyword(s):  
Asymptotic Analysis ◽  
Option Pricing ◽  
Markov Modulated

scholarly journals Barrier option pricing for assets with Markov-modulated dividends

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

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

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

Risk Minimizing Option Pricing in a Semi-Markov Modulated Market

2009 ◽  
Vol 48 (3) ◽  
pp. 1519-1541 ◽  
Author(s):  
Mrinal K. Ghosh ◽  
Anindya Goswami
Keyword(s):  
Option Pricing ◽  
Markov Modulated

scholarly journals Option pricing under a Markov-modulated jump-diffusion dividend

2020 ◽  
Author(s):  
Yuanchuang Shan ◽  
Haoran Yi ◽  
Xuekang Zhang ◽  
HuiSheng Shu
Keyword(s):  
Option Pricing ◽  
Jump Diffusion ◽  
Markov Modulated

Spread and basket option pricing in a Markov‐modulated Lévy framework with synchronous jumps

2018 ◽  
Vol 34 (6) ◽  
pp. 782-802
Author(s):  
Griselda Deelstra ◽  
Sinem Kozpınar ◽  
Matthieu Simon
Keyword(s):  
Option Pricing ◽  
Basket Option ◽  
Markov Modulated
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