A new method for option pricing via time-fractional PDE
In this paper, power options pricing is driven via time-fractional PDE when the dynamic of
underlying asset price follows a regime switching model in which the risky underlying asset …
underlying asset price follows a regime switching model in which the risky underlying asset …
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 …
Option pricing with a levy-type stochastic dynamic model for stock price process under semi-markovian structural perturbations
P Assonken, GS Ladde - … Journal of Theoretical and Applied Finance, 2015 - World Scientific
In this work, we consider a stock price process subjected to idiosyncratic Lévy jumps and
global structural changes attributed to interventions due to a semi-Markov process. The semi …
global structural changes attributed to interventions due to a semi-Markov process. The semi …
[图书][B] Modeling in Finance and Insurance with Levy-It´ o Driven Dynamic Processes under Semi Markov-type Switching Regimes and Time Domains
PAA Tonfack - 2017 - search.proquest.com
Mathematical and statistical modeling have been at the forefront of many significant
advances in many disciplines in both the academic and industry sectors. From behavioral …
advances in many disciplines in both the academic and industry sectors. From behavioral …
Modeling in Finance and Insurance With Levy-It'o Driven Dynamic Processes under Semi Markov-type Switching Regimes and Time Domains
PA Assonken Tonfack - 2017 - digitalcommons.usf.edu
Mathematical and statistical modeling have been at the forefront of many significant
advances in many disciplines in both the academic and industry sectors. From behavioral …
advances in many disciplines in both the academic and industry sectors. From behavioral …