Name
Abstract | ||
|---|---|---|
We investigate the pricing of both European and American-style options when the price dynamics of the underlying risky assets are governed by a Markov-modulated constant elasticity of variance process. Both probabilistic and partial differential equation approaches are considered in deriving the value of a European-style option. For the case of an American-style option, we consider a probabilistic approach and derive an integral representation for the early exercise premium. |
Year | DOI | Venue |
|---|---|---|
2013 | 10.1016/j.amc.2012.10.047 | Applied Mathematics and Computation |
Keywords | Field | DocType |
regime-switching constant elasticity,partial differential equation approach,markov-modulated constant elasticity,american-style option,price dynamic,variance process,option valuation,integral representation,early exercise premium,underlying risky asset,european-style option,probabilistic approach,option pricing | Regime switching,Mathematical optimization,Mathematical economics,Valuation of options,Actuarial science,Integral representation,Finite difference methods for option pricing,Asian option,Probabilistic logic,Elasticity (economics),Partial differential equation,Mathematics | Journal |
Volume | Issue | ISSN |
219 | 9 | 0096-3003 |
Citations | PageRank | References |
1 | 0.40 | 2 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Robert J. Elliott | 1 | 333 | 50.13 |
| Leunglung Chan | 2 | 2 | 1.47 |
| Tak Kuen Siu | 3 | 114 | 20.25 |