173
Views
2
CrossRef citations to date
0
Altmetric
Article

Option pricing under a Markov-modulated Merton jump-diffusion dividend

, , &
Pages 1490-1506 | Received 24 Nov 2020, Accepted 05 May 2021, Published online: 20 May 2021

References

  • Bo, L. J., Y. J. Wang, and X. W. Yang. 2010. Markov-modulated jump-diffusion for currency option pricing. Insurance: Mathematics and Economics 46 (3):461–9. doi:10.1016/j.insmatheco.2010.01.003.
  • Buffington, J., and R. J. Elliott. 2002. American options with regime switching. International Journal of Theoretical and Applied Finance 05 (05):497–514. doi:10.1142/S0219024902001523.
  • Bühlmann, H., F. Delbaean, P. Embrechts, and A. N. Shiryaev. 1996. No arbitrage, change of measure and conditional Esscher transforms. CWI Quarterly 9 (4):291–317.
  • Cui, Z. Y., J. L. Kirkby, and D. Nguyen. 2019. Continuous-time Markov chain and regime switching approximations with applications to options pricing. In Modeling, stochastic control, optimization, and applications. The IMA volumes in mathematics and its applications edition, edited by G. Yin and Q. Zhang. Vol. 164. Cham: Springer.
  • Delbaen, F., and W. Schachermayer. 1994. A general version of the fundamental theorem of asset pricing. Mathematische Annalen 300 (1):463–520. doi:10.1007/BF01450498.
  • Ding, K. L., and N. Ning. 2021. Markov chain approximation and measure change for time-inhomogeneous stochastic processes. Applied Mathematics and Computation 392 (1):125732. doi:10.1016/j.amc.2020.125732.
  • Ding, K. L., Z. Y. Cui, and Y. J. Wang. 2021. A Markov chain approximation scheme for option pricing under skew diffusions. Quantitative Finance 21 (3):461–80. doi:10.1080/14697688.2020.1781235.
  • Elliott, R. J., L. L. Chan, and T. K. Siu. 2005. Option pricing and Esscher transform under regime switching. Annals of Finance 1 (4):423–32. doi:10.1007/s10436-005-0013-z.
  • Elliott, R. J., and C. J. Osakwe. 2006. Option pricing for pure jump processes with Markov switching cooompensators. Finance and Stochastics 10 (2):250–75. doi:10.1007/s00780-006-0004-6.
  • Elliott, R. J., T. K. Siu, L. L. Chan, and J. W. Lau. 2007. Pricing options under a generalized Markov-modulated jump-diffusion model. Stochastic Analysis and Applications 25 (4):821–43. doi:10.1080/07362990701420118.
  • Gerber, H. U., and E. S. W. Shiu. 1994. Option pricing by Esscher transforms. Transactions of the Society of Actuaries 46:99–191. doi:10.1016/0167-6687(95)97170-Y.
  • Graziano, G. D., and L. C. G. Rogers. 2006. Barrier option pricing for assets with Markov-modulated dividends. The Journal of Computational Finance 9 (4):75–88. doi:10.21314/JCF.2006.151.
  • Harrison, J. M., and S. R. Pliska. 1981. Martingales and stochastic intergrals in the theory of continuous trading. Stochastic Processes and Their Applications 11 (3):215–80. doi:10.1016/0304-4149(81)90026-0.
  • Harrison, J. M., and S. R. Pliska. 1983. A stochastic calculus model of continuous trading: Complete markets. Stochastic Processes and Their Applications 15 (3):313–6. doi:10.1016/0304-4149(83)90038-8.
  • Kallsen, J., and A. N. Shiryaev. 2002. The cumulant process and Esscher’s change of measure. Finance and Stochastics 6 (4):397–428. doi:10.1007/s007800200069.
  • Korn, R., and L. C. G. Rogers. 2005. Stocks paying discrete dividends: Modelling and option pricing. The Journal of Derivatives 13 (2):44–8. doi:10.3905/jod.2005.605354.
  • Kirkby, J. L., and D. Nguyen. 2020. Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models. Annals of Finance 16 (3):307–51. doi:10.1007/s10436-020-00366-0.
  • Klebaner, F. C. 2005. Introduction to stochastic calculus with applications. Imperial College Press.
  • Kruse, S., and M. Muller. 2012. A summary on pricing American call options under the assumption of a lognormal framework in the Korn-Rogers model. Bulletin of the Malaysian Mathematical Sciences Society 35 (2A):573–81.
  • Liao, J., H. S. Shu, and C. Wei. 2017. Pricing power options with a generalized jump-diffusion. Communications in Statistics - Theory and Methods 46 (22):11026–46. doi:10.1080/03610926.2016.1257138.
  • Merton, R. C. 1976. Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics 3 (1–2):125–44. doi:10.1016/0304-405X(76)90022-2.
  • Sakkas, E., and H. Le. 2009. A Makov-modulated model for stocks paying discrete dividends. Insurance: Mathematics and Economics 45 (1):19–24. doi:10.1016/j.insmatheco.2009.02.005.
  • Shreve, S. E. 2004. Stochastic calculus for finance. New York: Springer-Verlag.
  • Yan, H. H., Q. H. Chen, and H. S. Shu. 2020. Option pricing based on a regime switching dividend process. Communications in Statistics - Theory and Methods 49 (24):5964–74. doi:10.1080/03610926.2019.1625920.
  • Yan, H. H., H. S. Shu, and X. Kan. 2015. Pricing equity-indexed annuities when discrete dividends follow a Markov modulated jump diffusion model. Communications in Statistics - Theory and Methods 44 (11):2207–21. doi:10.1080/03610926.2013.819922.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.