An analytic formula for pricing American-style convertible bonds in a regime switching model
In this paper, we consider the pricing of convertible bonds on a single underlying asset with
dividend yield in a regime-switching economy. The dynamics of the risky asset are assumed …
dividend yield in a regime-switching economy. The dynamics of the risky asset are assumed …
Saddlepoint approximations to option price in a regime-switching model
In this paper we consider the saddlepoint approximation for the valuation of a European-
style call option in a Markovian, regime-switching, Black–Scholes–Merton economy, where …
style call option in a Markovian, regime-switching, Black–Scholes–Merton economy, where …
Pricing options in a Markov regime switching model with a random acceleration for the volatility
RJ Elliott, L Chan, TK Siu - IMA Journal of Applied Mathematics, 2016 - academic.oup.com
This article discusses option pricing in a Markov regime-switching model with a random
acceleration for the volatility. A key feature of the model is that the volatility of the underlying …
acceleration for the volatility. A key feature of the model is that the volatility of the underlying …
An Exact Formula for Pricing American Exchange Options with Regime Switching
L Chan - Hidden Markov Models in Finance: Further …, 2014 - Springer
This paper investigates the pricing of American exchange options when the price dynamics
of each underlying risky asset are assumed to follow a Markov-modulated Geometric …
of each underlying risky asset are assumed to follow a Markov-modulated Geometric …
[PDF][PDF] Pricing Financial Derivatives Under the Regime-Switching Models
M Zhang - 2017 - unsworks.unsw.edu.au
While several empirical studies find evidence for the existence of regime-switching (RS)
effect on stock/future prices, see Vo (2009), Chan (2009), and Ang and Timmermann (2012) …
effect on stock/future prices, see Vo (2009), Chan (2009), and Ang and Timmermann (2012) …