Similar Search Results

Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation

MacKay, Anne; Vachon, Marie-Claude; Cui, Zhenyu - In: Quantitative finance 23 (2023) 7/8, pp. 1055-1078

Persistent link: https://www.econbiz.de/10014321664

Noncausal affine processes with applications to derivative pricing

Gouriéroux, Christian; Lu, Yang - In: Mathematical finance : an international journal of … 33 (2023) 3, pp. 766-796

Persistent link: https://www.econbiz.de/10014329912

Barrier option pricing under a Markov Regime switching diffusion model

Zhang, Xiaoyuan; Zhang, Tianqi - In: The quarterly review of economics and finance : journal … 86 (2022), pp. 273-280

Persistent link: https://www.econbiz.de/10014249123

Pricing a specific equity index annuity in a regime-switching Lévy model with jump

Wang, Yayun - In: Computational economics 61 (2023) 3, pp. 1115-1135

Persistent link: https://www.econbiz.de/10014252150

Analytically pricing exchange options with stochastic liquidity and regime switching

He, Xin-Jiang; Lin, Sha - In: The journal of futures markets 43 (2023) 5, pp. 662-676

Persistent link: https://www.econbiz.de/10014293179

On pricing double-barrier options with Markov regime switching

Zhang, Xiaoyuan; Zhang, Tianqi - In: Finance research letters 51 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014288926

Optimal trading with regime switching : numerical and analytic techniques applied to valuing storage in an electricity balancing market

Johnson, Paul; Szabó, Dávid Zoltán; Duck, Peter - In: European journal of operational research : EJOR 319 (2024) 2, pp. 611-624

Persistent link: https://www.econbiz.de/10015084871

American put options with regime-switching volatility

Jang, Bong-Gyu; Koo, Hyeng-keun - In: Journal of derivatives and quantitative studies : … 32 (2024) 2, pp. 86-115

We present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the option price can be expressed as the sum of two components: the price of a European put option and the premium associated with the early exercise privilege. Our analysis...

Persistent link: https://www.econbiz.de/10015054085

Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models

Ignatieva, Ekaterina; Wong, Patrick - In: Journal of empirical finance 78 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015101647

Modelling high frequency crude oil dynamics using affine and non-affine jump-diffusion models

Ignatieva, Ekaterina; Wong, Patrick - In: Energy economics 108 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013203083