In this paper, we consider the pricing of American options under a regime-switching double
Heston model, such that the interest rate and mean-reversion level parameters in both …

In this research work, we propose a high-order time adapted scheme for pricing a coupled
system of fixed-free boundary constant elasticity of variance (CEV) model on both …

Y (t)= Y c (t)+ Y d (t),(A. 1) where {Y c (t)| t∈ T} and {Y d (t)| t∈ T} are, respectively, the
continuous and discontinuous parts of {Y (t)| t∈ T}. Since the jumps in the return process {Y …

A self-exciting threshold jump–diffusion model for option valuation is studied. This model
can incorporate regime switches without introducing an exogenous stochastic factor …

This paper investigates the valuation of a European-style barrier option in a Markovian,
regime-switching, Black–Scholes–Merton economy, where the price process of an …

It is widely known that stochastic differential equations with Markovian switching, involving
terms without Lipschitz continuity like| u| 1/2+ α for α∈[0, 1/2), are of great practical value in …

In the current literature, regime-switching risk is NOT priced in the Markov-modulated jump-
diffusion models for currency options. We therefore develop a hidden Markov-modulated …

This paper evaluates the prices of European-style options when dynamics of the underlying
asset is assumed to follow a Markov-switching Heston's stochastic volatility model. Under …

In this paper we solve the discrete time mean-variance hedging problem when asset returns
follow a multivariate autoregressive hidden Markov model. Time dependent volatility and …

This article discusses option pricing in a Markov regime-switching model with a random
acceleration for the volatility. A key feature of the model is that the volatility of the underlying …