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

The Pricing of Vulnerable Options Under Jump-Diffusion Model

2013 ◽  
Vol 15 (3) ◽  
pp. 204
Author(s):  
Chixiang CHEN ◽  
Biyi SHEN ◽  
Guangyu YANG
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
Jump Diffusion Model ◽  
Vulnerable Options

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

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

scholarly journals Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility

2021 ◽  
Vol 0 (0) ◽  
pp. 0
Author(s):  
Wan-Hua He ◽  
Chufang Wu ◽  
Jia-Wen Gu ◽  
Wai-Ki Ching ◽  
Chi-Wing Wong
Keyword(s):  
Stochastic Volatility ◽  
Diffusion Model ◽  
Jump Diffusion ◽  
Jump Diffusion Model ◽  
Vulnerable Options

scholarly journals Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model

2015 ◽  
Vol 11 (2) ◽  
pp. 493-514 ◽  
Author(s):  
Wei Wang ◽  
◽  
Linyi Qian ◽  
Xiaonan Su ◽  
◽  
...  
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
Put Options ◽  
Jump Diffusion Model ◽  
Markov Modulated

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

MCMC estimation of a multi-factor jump diffusion model for power prices

2008 ◽  
Vol 1 (4) ◽  
pp. 65-90 ◽  
Author(s):  
Rikard Green ◽  
Marcus Nossman
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
Mcmc Estimation ◽  
Jump Diffusion Model
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