Option pricing under regime-switching models: Novel approaches removing path-dependence
Article Properties
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LanguageEnglish
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DOI (url)
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Publication Date2019/07/01
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Indian UGC (journal)
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Refrences54
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Citations12
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Frédéric Godin
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Van Son Lai
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Denis-Alexandre Trottier
Cite
Godin, Frédéric, et al. “Option Pricing under Regime-Switching Models: Novel Approaches Removing Path-Dependence”. Insurance: Mathematics and Economics, vol. 87, 2019, pp. 130-42, https://doi.org/10.1016/j.insmatheco.2019.04.006.
Godin, F., Lai, V. S., & Trottier, D.-A. (2019). Option pricing under regime-switching models: Novel approaches removing path-dependence. Insurance: Mathematics and Economics, 87, 130-142. https://doi.org/10.1016/j.insmatheco.2019.04.006
Godin F, Lai VS, Trottier DA. Option pricing under regime-switching models: Novel approaches removing path-dependence. Insurance: Mathematics and Economics. 2019;87:130-42.
Journal Categories
Science
Mathematics
Science
Mathematics
Probabilities
Mathematical statistics
Social Sciences
Commerce
Business
Social Sciences
Economic theory
Demography
Economics as a science
Social Sciences
Statistics
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Refrences
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK | ASTIN Bulletin |
| 24 | 2018 |
FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY | ASTIN Bulletin |
| 13 | 2018 |
On Fund Mapping Regressions Applied to Segregated Funds Hedging Under Regime-Switching Dynamics | Risks |
| 5 | 2018 |
| Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance | Quantitative Finance |
| 5 | 2017 |
VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK | ASTIN Bulletin |
| 37 | 2015 |
Refrences Analysis
The category
Social Sciences: Economic theory. Demography: Economics as a science 12
is the most frequently represented among the references in this article. It primarily includes studies from Quantitative Finance The chart below illustrates the number of referenced publications per year.
Refrences used by this article by year
Citations
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
Estimation of regime-switching diffusions via Fourier transforms | Statistics and Computing |
| 1 | 2024 |
| Option pricing under stochastic volatility models with latent volatility | Quantitative Finance |
| 2023 | |
| On regime-switching European option pricing | Cogent Economics & Finance |
| 2023 | |
| Numerical solving for generalized Black-Scholes-Merton model with neural finite element method | Digital Signal Processing |
| 4 | 2022 |
| Poisson Process Modeling of Pure Jump Equities on the Ghana Stock Exchange | Journal of Applied Mathematics and Physics | 2022 |
Citations Analysis
The category
Science: Mathematics 7
is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps and was published in 2020. The most recent citation comes from a 2024 study titled Estimation of regime-switching diffusions via Fourier transforms. This article reached its peak citation in 2021, with 4 citations. It has been cited in 9 different journals, 11% of which are open access. Among related journals, the Quantitative Finance cited this research the most, with 3 citations. The chart below illustrates the annual citation trends for this article.