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Author : Craig Steven Edwards
Publisher :
ISBN 13 :
Total Pages : 198 pages
Book Rating : 4.:/5 (255 download)
Download or read book Option Pricing with Continuous-time Markov Chain Regime Switching written by Craig Steven Edwards and published by . This book was released on 2004 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bong-Gyu Jang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Option Pricing with Regime Switching written by Bong-Gyu Jang and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a new method for evaluating European options with regime switching. We represent their value as a sum of integrations over simplexes and show the integrations can be approximated by the method of Grundmann and Moller (1978). The method is applicable to the valuation of European-type options written on the underlying asset whose price follows a regime-switching mean-reverting process as well as a classical regime-switching geometric Brownian motion. Numerical examples give us evidences that it can be a powerful tool for practitioners in option pricing.
Author : Houmin Yan
Publisher : Springer Science & Business Media
ISBN 13 : 0387338152
Total Pages : 397 pages
Book Rating : 4.3/5 (873 download)
Download or read book Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems written by Houmin Yan and published by Springer Science & Business Media. This book was released on 2006-09-10 with total page 397 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited volume contains 16 research articles. It presents recent and pressing issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the book is highly multi-disciplinary. The book is dedicated to Professor Suresh Sethi on the occasion of his 60th birthday, in view of his distinguished career.
Author : Philipp A. Orth
Publisher :
ISBN 13 :
Total Pages : 106 pages
Book Rating : 4.:/5 (712 download)
Download or read book Regime Switching Black-Scholes Model Selection with Implications for Option Pricing written by Philipp A. Orth and published by . This book was released on 2006 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Driffill
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (248 download)
Download or read book Option Pricing and Regime-switching written by John Driffill and published by . This book was released on 2000 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sean D. Campbell
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Option Pricing with Unobserved and Regime-Switching Volatility written by Sean D. Campbell and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we use a regime-switching process to model the unobserved volatility of the underlying asset and derive a closed-form, risk-neutral option pricing formula. Specifically, our model implies the state price density (SPD) is a time-varying mixture of normals which can provide for time-varying excess kurtosis and skewness as agents learn about the state of volatility from realized returns. Furthermore, we show that our model generates the kinds of volatility quot;smilesquot; commonly found in option markets. We apply our two and three regime models to weekly Samp;P 500 option data and find our model fits the data better than other popular pricing models. Additionally, we find evidence that stock returns can be well-described by a markov switching framework with a very persistent low volatility regime followed by a less persistent moderate volatility regime and a highly non-persistent crash regime. Our estimation results don't suffer the so called quot;Peso Problemquot; as they come from option prices instead of the observed stock returns.
Author : Tak Kuen Siu
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (231 download)
Download or read book Option Pricing when the Regime-switching Risk is Priced written by Tak Kuen Siu and published by . This book was released on 2007 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mohammad Yousef Akhavein Sohrabi
Publisher :
ISBN 13 :
Total Pages : 83 pages
Book Rating : 4.:/5 (827 download)
Download or read book Option Pricing Under Regime Switching (analytical, PDE, and FFT Methods) written by Mohammad Yousef Akhavein Sohrabi and published by . This book was released on 2011 with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although globally used in option pricing, the Black-Scholes model has not been able to reflect the evolution of stocks in the real world. A regime-switching model which allows jumps in the underlying asset prices and the parameters of the corresponding stochastic process is more accurate. We evaluate the analytical solution for pricing of European options under a two-state regime switching model. Both the convergence of the analytical solution and the feature of implied volatility are investigated through numerical examples.
Author : Carl Chiarella
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (13 download)
Download or read book Pricing American Options Under Regime Switching Using Method of Lines written by Carl Chiarella and published by . This book was released on 2016 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers the American option pricing problem under regime-switching by using the method-of-lines (MOL) scheme. American option prices in each regime involve prices in all other regimes. We treat the prices from other regimes implicitly, thus guaranteeing consistency. Iterative procedures are required but very few iterative steps are needed in practice. Numerical tests demonstrate the robustness, accuracy and efficiency of the proposed numerical scheme. We compare our results with Buffington and Elliott (2002)'s analytical approximation under two regimes. Our MOL scheme provides improved results especially for out-of-the money options, possibly because they use a separation of variable approach to the PDEs which cannot hold around the early exercise region. We also compare our results with those of Khaliq and Liu (2009) and suggest that their implicit scheme can be improved.
Author : Bozenna Pasik-Duncan
Publisher : Springer Science & Business Media
ISBN 13 : 3540437770
Total Pages : 563 pages
Book Rating : 4.5/5 (44 download)
Download or read book Stochastic Theory and Control written by Bozenna Pasik-Duncan and published by Springer Science & Business Media. This book was released on 2002-07-24 with total page 563 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains almost all of the papers that were presented at the Workshop on Stochastic Theory and Control that was held at the Univ- sity of Kansas, 18–20 October 2001. This three-day event gathered a group of leading scholars in the ?eld of stochastic theory and control to discuss leading-edge topics of stochastic control, which include risk sensitive control, adaptive control, mathematics of ?nance, estimation, identi?cation, optimal control, nonlinear ?ltering, stochastic di?erential equations, stochastic p- tial di?erential equations, and stochastic theory and its applications. The workshop provided an opportunity for many stochastic control researchers to network and discuss cutting-edge technologies and applications, teaching and future directions of stochastic control. Furthermore, the workshop focused on promoting control theory, in particular stochastic control, and it promoted collaborative initiatives in stochastic theory and control and stochastic c- trol education. The lecture on “Adaptation of Real-Time Seizure Detection Algorithm” was videotaped by the PBS. Participants of the workshop have been involved in contributing to the documentary being ?lmed by PBS which highlights the extraordinary work on “Math, Medicine and the Mind: Discovering Tre- ments for Epilepsy” that examines the e?orts of the multidisciplinary team on which several of the participants of the workshop have been working for many years to solve one of the world’s most dramatic neurological conditions. Invited high school teachers of Math and Science were among the part- ipants of this professional meeting.
Author : Amalia Christoforidou
Publisher :
ISBN 13 :
Total Pages : 93 pages
Book Rating : 4.:/5 (933 download)
Download or read book Regime-switching Option Pricing Models written by Amalia Christoforidou and published by . This book was released on 2015 with total page 93 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Masahiko Egami
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (13 download)
Download or read book A Direct Solution Method for Pricing Options in Regime-Switching Models written by Masahiko Egami and published by . This book was released on 2018 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Pricing financial or real options with arbitrary payoffs in regime-switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assumptions, a general form of optimal stopping problems in regime-switching models. In this article, we reduce an optimal stopping problem with an arbitrary value function in a two-regime environment to a pair of optimal stopping problems without regime switching. We then propose a method for finding optimal stopping rules using the techniques available for non-switching problems. In contrast to other methods, our systematic solution procedure is more direct since we first obtain the explicit form of the value functions. In the end, we discuss an option pricing problem which may not be dealt with by the conventional methods, demonstrating the simplicity of our approach.
Author : Frédéric Godin
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (13 download)
Download or read book Option Pricing Under Regime-Switching Models written by Frédéric Godin and published by . This book was released on 2018 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although option pricing schemes in regime-switching frameworks were extensively explored in the literature, many models developed disregard the unobservability of regimes. In such a context, the traditional pricing approach pioneered by Hardy (2001) applied to vanilla options exhibits path-dependence even if the underlying asset price process can be embedded in a Markov process. This property is deemed counterintuitive and puzzling, warranting explanations and alternatives. The current work develops novel risk-neutral measures which remove the path-dependence issue. Pricing approaches based on dynamic programming and Monte-Carlo simulations which rely on the latter measures are illustrated.
Author : Chao Qiu
Publisher :
ISBN 13 :
Total Pages : 181 pages
Book Rating : 4.:/5 (86 download)
Download or read book Option Pricing and Hedging Analysis Under Regime-switching Models written by Chao Qiu and published by . This book was released on 2013 with total page 181 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis explores option pricing and hedging in a discrete time regime-switching environment. If the regime risk cannot be hedged away, then we cannot ignore this risk and use the Black-Scholes pricing and hedging framework to generate a unique pricing and hedging measure. We develop a risk neutral pricing measure by applying an Esscher Transform to the real world asset price process, with the focus on the issue of incompleteness of the market. The Esscher transform turns out to be a convenient and effective tool for option pricing under the discrete time regime switching models. We apply the pricing measure to both single variate European options and multivariate options. To better understand the effect of the pricing method, we also compared the results with those generated from two other risk neutral methods: the Black-Scholes model, and the natural equivalent martingale method. We further investigate the difference in hedging associated with different pricing measures. This is of interest when the choice of pricing method is uncertain under regime switching models. We compare four hedging strategies: delta hedging for the three risk neutral pricing methods under study, and mean variance hedging. We also develop a more general tool of tail ordering for hedging analysis in a general incomplete market with the uncertainty of the risk neutral measures. As a result of the analysis, we propose that pricing and hedging using the Esscher transform may be an effective strategy for a market where the regime switching process brings uncertainty.
Author :
Publisher :
ISBN 13 :
Total Pages : 80 pages
Book Rating : 4.:/5 (937 download)
Download or read book Call Option Pricing in the Regime Switching Lévy Market written by and published by . This book was released on 2006 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zongming Jr Ma
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book An Option Pricing Model with Regime-Switching Economic Indicators written by Zongming Jr Ma and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kyriakos Chourdakis
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (841 download)
Download or read book Option Pricing Under Alternative Regime Switching Specifications written by Kyriakos Chourdakis and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
