Detailed Information
Cited 0 time in 
Cited 0 time in 
Cited 0 time in
Metadata Downloads
A regime-switching model with the volatility smile for two-asset European options
- Authors
- Kim, Junseok; Jeong, Darae; Shin, Dong-Hoon
- Issue Date
- 3월-2014
- Publisher
- PERGAMON-ELSEVIER SCIENCE LTD
- Keywords
- Regime-switching model; Finite difference method; Operator splitting method; Volatility smile
- Citation
- AUTOMATICA, v.50, no.3, pp.747 - 755
- Indexed
- SCIE
SCOPUS
- Journal Title
- AUTOMATICA
- Volume
- 50
- Number
- 3
- Start Page
- 747
- End Page
- 755
- ISSN
- 0005-1098
- Abstract
- In this paper, we consider a numerical European-style option pricing method under two regime-switching underlying assets depending on the market regime. For a risk neutral market condition, we consider regime-switching model with two assets using a Feynman-Kac type formula. And to solve the option problem with regime-switching model, we apply an operator splitting method. Numerical examples show the volatility smile and the volatility term structure under varying parameters on a two state regime switching model. (C) 2014 Elsevier Ltd. All rights reserved.
- Files in This Item
- There are no files associated with this item.
- Appears in
Collections - College of Science > Department of Mathematics > 1. Journal Articles
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.