✦ LIBER ✦

Pricing foreign equity options with regime-switching

✍ Scribed by Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming

Book ID: 122184384
Publisher: Elsevier Science
Year: 2014
Tongue: English
Weight: 991 KB
Volume: 37
Category: Article
ISSN: 0264-9993
DOI: 10.1016/j.econmod.2013.11.009

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

On pricing barrier options with regime s

On pricing barrier options with regime switching

✍ Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 📂 Article 📅 2014 🏛 Elsevier Science 🌐 English ⚖ 434 KB

Financial options pricing with regime-sw

Financial options pricing with regime-switching jump-diffusions

✍ Lee, Younhee 📂 Article 📅 2014 🏛 Elsevier Science 🌐 English ⚖ 531 KB

Pricing foreign equity options under Lév

Pricing foreign equity options under Lévy processes

✍ Shian-Chang Huang; Mao-Wei Hung 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 262 KB

This article investigates the valuation of a foreign equity option whose value depends on the exchange rate and foreign equity prices. Assuming that these underlying price processes are correlated and driven by a multidimensional Lévy process, a method suitable for solving the complex valuation prob

REAL OPTIONS WITH PRICED REGIME-SWITCHIN

REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK

✍ DRIFFILL, JOHN; KENC, TURALAY; SOLA, MARTIN 📂 Article 📅 2013 🏛 World Scientific Publishing Company 🌐 English ⚖ 495 KB

Option pricing under regime switching

✍ Duan, Jin Chuan (author);Popova, Ivilina (author);Ritchken, Peter (author) 📂 Article 📅 2002 🏛 Taylor and Francis Group 🌐 English ⚖ 333 KB

Option pricing under regime switching

✍ Duan, Jin Chuan (author);Popova, Ivilina (author);Ritchken, Peter (author) 📂 Article 📅 2002 🏛 Taylor and Francis Group 🌐 English ⚖ 333 KB