Valuing options in regime-switching models

Journal of Derivatives

Volumn 6, Issue 1, 1998, Pages 38-49

  Bollen, Nicolas P B ^a  

^a UNIVERSITY OF UTAH   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0012798626     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.1998.408011     Document Type: Article

References (21)

1. Ball, C, and A. Roma. "Stochastic Volatility Option Pricing." Journal of Financial and Quantitative Analysis, 29 (1994), pp. 589-607.
2. Bates, D. "Post-'87 Crash Fears in S&P 500 Futures Options." NBER Working paper 5894, 1997.
3. Black, F., and M. Scholes. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy, 81 (1973), pp. 637-659.
4. Bodurtha, J., and G. Courtadon. "Tests of an American Option Pricing Model on the Foreign Currency Options Market." Journal of Finandal and Quantitative Analysis, 22 (1987), pp. 153-167.
5. Bollen, N., S. Gray, and R. Whaley. "Regime-Switching in Foreign Exchange Rates: Evidence from Currency Options." Journal of Econometria, forthcoming, 1998.
6. Boyle, P. "A Lattice Framework for Option Pricing with Two State Variables." Journal of Financial and Quantitative Analysis, 23 (1988), pp. 1-12.
7. "Options: A Monte Carlo Approach." Journal of Financial Economics, 4 (1977),-pp. 323-338.
8. Boyle, P., J. Evnine, and S. Gibbs. "Numerical Evaluation of Multivariate Contingent Claims." Review of Financial Studies, 2 (1989), pp. 241-250.
9. Cox, J., S. Ross, and M. Rubinstein. "Option Pricing: A Simplified Approach. "Journal of Financial Economics, 7 (1979), pp. 229-263.
10. Duan, J. "The Garch Option Pricing Model." Mathematical Finance, 5 (1995), pp. 13-32.
11. Engle, C, andJ.D. Hamilton. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?" American Economic Review, 80 (1990), pp. 689-713.
12. Gray, S.F. "An Analysis of Conditional Regime-Switching Working paper, Fuqua School of Business, Duke University, 1995
13. "Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process." Journal of Financial Economics, 42 (1996), pp. 27-62.
14. Hamilton, J.D. "Analysis of Time Series Subject to Changes in Regime." Journal of Econometrics, 45 (1990), pp. 39-70.
15. Time Series Analysis. Princeton: Princeton University Press, 1994.
16. Heston, S. "A Closed Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options." Review of Finandal Studies, 6 (1993), pp. 327-343.
17. Hull, J., and A. White. "The Pricing of Options on Assets with Stochastic VolatiHty." Journal of Finance, 42 (1987), pp. 281-300.
18. "Valuing Derivative Securities Using the Explicit Finite Difference Method." Journal of Finandal and Quantitative Analysis, 25 (1990), pp. 87-100.
19. Naik, V. "Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns. "Journal of Finance, 48 (1993), pp. 1969-1984.
20. Rubinstein, M. "Implied Binomial Trees." Journal of Finance, 49 (1994), pp. 771-818.
21. Stein, E., and C. Stein. "Stock Price Distributions with Stochastic Volatility: An Analytic Approach." Review of Finandal Studies, 4 (1991), pp. 727-752.