Option pricing under regime switching

Quantitative Finance

Volumn 2, Issue 2, 2002, Pages 116-132

  Duan, Jin Chuan ^a   Popova, Ivilina ^b   Ritchken, Peter ^c  

^a HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

^b PURDUE UNIVERSITY   (United States)

^c CASE WESTERN RESERVE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85008842604     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1088/1469-7688/2/2/303     Document Type: Article

References (20)

1. Bakshi G, Cao C and Chen Z 1997. Empirical performance of alternative option pricing models. J. Finance 53 499–547
2. Black F 1976. Studies in stock price volatility changes. Proc. 1976 Meeting of the Business and Economics Statistics Section (American Statistical Association) pp 177–81
3. Bekaert G and Hodrick R 1993. On biases in the measurement of foreign exchange risk premiums. J. Int. Money Finance 12 115–38
4. Bollen N P B 1998. Valuing options in regime-switching models. J. Derivatives 6 38–49
5. Bollen N P B, Gray S F and Whaley R 1999. Valuation of currency options when exchange rates shift regimes. J. Econometrics at press
6. Duan J 1995 The GARCH option pricing model. Math. Finance 5 13–32
7. Duan J 1996. A unified theory of option pricing under stochastic volatility—from GARCH to diffusion (Hong Kong University of Science and Technology) unpublished
8. Duan J 1997 Augmented GARCH(p, q) process and its diffusion limit. J. Econometrics 79 97–127
9. Duan J and Simonato. 1998 Empirical martingale simulation for asset prices. Management Sci. 44 1218–433
10. Duan J and Simonato. 1999 American option pricing under GARCH by a Markov chain approximation (Hong Kong University of Science and Technology) unpublished
11. Dumas B, Fleming J and Whaley B. 1998 Implied volatility functions: empirical tests. J. Finance 53
12. Durland M and McCurdy T. 1994 Duration dependent transitions in a Markov model of US GNP growth. J. Business Economic Statistics
13. Engle R and Ng V. 1993 Measuring and testing the impact of news on volatility. J. Finance 48 1749–78
14. Glosten L, Jagannathan R and Runkle D. 1993 Relationship between the expected value and the volatility of the nominal excess return on stocks. J. Finance 48 1779–801
15. Gray S F 1996 Modeling the conditional distribution of interest rates as a regime switching process. J. Financial Economics 42. 27–62
16. Hamilton J 1989 A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57. 357–84
17. Harvey C and Whaley R 1992. Dividends and S&P 100 index option valuation. J. Futures Markets 12 123–37
18. Hull J and White A 1987. The pricing of options on assets with stochastic volatility. J. Finance 42 281–300
19. Jackwerth and Rubinstein M 1996. Recovering probability distributions from option prices. J. Finance 51 1611–31
20. Ritchken P and Trevor R 1999. Pricing options under generalized GARCH and stochastic volatility processes. J. Finance 54 377–402