Pricing foreign equity options with regime-switching
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References listed on IDEAS
- Siu, Tak Kuen, 2008. "A game theoretic approach to option valuation under Markovian regime-switching models," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1146-1158, June.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Arunangshu Biswas & Anindya Goswami & Ludger Overbeck, 2017. "Option Pricing in a Regime Switching Stochastic Volatility Model," Papers 1707.01237, arXiv.org, revised Jan 2018.
- Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming, 2015. "Pricing annuity guarantees under a double regime-switching model," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 62-78.
- repec:eee:ecofin:v:45:y:2018:i:c:p:230-244 is not listed on IDEAS
- repec:eee:stapro:v:138:y:2018:i:c:p:116-126 is not listed on IDEAS
- Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming, 2015. "Valuing commodity options and futures options with changing economic conditions," Economic Modelling, Elsevier, vol. 51(C), pages 524-533.
More about this item
KeywordsForeign equity option; Regime-switching; Mean-reversion; Fast Fourier transform;
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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