scholarly journals Portfolio optimization for jump-diffusion risky assets with regime switching: A time-consistent approach

2017 ◽  
Vol 13 (5) ◽  
pp. 0-0
Author(s):  
Caibin Zhang ◽  
◽  
Zhibin Liang ◽  
Kam Chuen Yuen ◽  
◽  
...  
Keyword(s):  
Portfolio Optimization ◽  
Regime Switching ◽  
Jump Diffusion ◽  
Risky Assets ◽  
Consistent Approach

Option Pricing in a Jump-Diffusion Model with Regime Switching

2009 ◽  
Vol 39 (2) ◽  
pp. 515-539 ◽  
Author(s):  
Fei Lung Yuen ◽  
Hailiang Yang
Keyword(s):  
Diffusion Model ◽  
Regime Switching ◽  
Jump Diffusion ◽  
Mathematical Finance ◽  
Extended Model ◽  
Exotic Options ◽  
Switching Model ◽  
Jump Diffusion Model ◽  
Trinomial Tree ◽  
Tree Method

AbstractNowadays, the regime switching model has become a popular model in mathematical finance and actuarial science. The market is not complete when the model has regime switching. Thus, pricing the regime switching risk is an important issue. In Naik (1993), a jump diffusion model with two regimes is studied. In this paper, we extend the model of Naik (1993) to a multi-regime case. We present a trinomial tree method to price options in the extended model. Our results show that the trinomial tree method in this paper is an effective method; it is very fast and easy to implement. Compared with the existing methodologies, the proposed method has an obvious advantage when one needs to price exotic options and the number of regime states is large. Various numerical examples are presented to illustrate the ideas and methodologies.

Mean-Field-Type Games with Jump-Diffusion and Regime Switching

2021 ◽  
pp. 167-198
Author(s):  
Julian Barreiro-Gomez ◽  
Hamidou Tembine
Keyword(s):  
Regime Switching ◽  
Mean Field ◽  
Jump Diffusion ◽  
Field Type
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