Option Pricing with a Regime-Switching Lévy Model

2011 ◽  
Author(s):  
Chi Chung Siu
Keyword(s):  
Option Pricing ◽  
Regime Switching

A RECOMBINING TREE METHOD FOR OPTION PRICING WITH STATE-DEPENDENT SWITCHING RATES

2016 ◽  
Vol 19 (02) ◽  
pp. 1650012 ◽  
Author(s):  
J. X. JIANG ◽  
R. H. LIU ◽  
D. NGUYEN
Keyword(s):  
Option Pricing ◽  
Regime Switching ◽  
Asset Price ◽  
Numerical Results ◽  
Price Process ◽  
State Dependent ◽  
Switching Models ◽  
Markovian Regime Switching ◽  
Tree Method ◽  
Markovian Regime

This paper develops simple and efficient tree approaches for option pricing in switching jump diffusion models where the rates of switching are assumed to depend on the underlying asset price process. The models generalize many existing models in the literature and in particular, the Markovian regime-switching models with jumps. The proposed trees grow linearly as the number of tree steps increases. Conditions on the choices of key parameters for the tree design are provided that guarantee the positivity of branch probabilities. Numerical results are provided and compared with results reported in the literature for the Markovian regime-switching cases. The reported numerical results for the state-dependent switching models are new and can be used for comparison in the future.

scholarly journals Option Pricing and Hedging for Discrete Time Regime-Switching Models

2017 ◽  
Vol 08 (08) ◽  
pp. 1005-1032 ◽  
Author(s):  
Bruno Rémillard ◽  
Alexandre Hocquard ◽  
Hugo Lamarre ◽  
Nicolas Papageorgiou
Keyword(s):  
Option Pricing ◽  
Discrete Time ◽  
Regime Switching ◽  
Regime Switching Models ◽  
Switching Models ◽  
Time Regime

A Spectral Element Method for Option Pricing Under Regime-Switching with Jumps

2020 ◽  
Vol 83 (3) ◽  
Author(s):  
Geraldine Tour ◽  
Nawdha Thakoor ◽  
Jingtang Ma ◽  
Désiré Yannick Tangman
Keyword(s):  
Option Pricing ◽  
Regime Switching ◽  
Spectral Element Method ◽  
Spectral Element ◽  
Element Method
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