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 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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