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A regime-switching model with the volatility smile for two-asset European options
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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Kim, Junseok | - |
| dc.contributor.author | Jeong, Darae | - |
| dc.contributor.author | Shin, Dong-Hoon | - |
| dc.date.accessioned | 2021-09-05T11:14:56Z | - |
| dc.date.available | 2021-09-05T11:14:56Z | - |
| dc.date.created | 2021-06-15 | - |
| dc.date.issued | 2014-03 | - |
| dc.identifier.issn | 0005-1098 | - |
| dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/99236 | - |
| dc.description.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. | - |
| dc.language | English | - |
| dc.language.iso | en | - |
| dc.publisher | PERGAMON-ELSEVIER SCIENCE LTD | - |
| dc.subject | OPERATOR SPLITTING METHODS | - |
| dc.subject | ADI | - |
| dc.title | A regime-switching model with the volatility smile for two-asset European options | - |
| dc.type | Article | - |
| dc.contributor.affiliatedAuthor | Kim, Junseok | - |
| dc.identifier.doi | 10.1016/j.automatica.2013.12.019 | - |
| dc.identifier.scopusid | 2-s2.0-84895921566 | - |
| dc.identifier.wosid | 000334003500008 | - |
| dc.identifier.bibliographicCitation | AUTOMATICA, v.50, no.3, pp.747 - 755 | - |
| dc.relation.isPartOf | AUTOMATICA | - |
| dc.citation.title | AUTOMATICA | - |
| dc.citation.volume | 50 | - |
| dc.citation.number | 3 | - |
| dc.citation.startPage | 747 | - |
| dc.citation.endPage | 755 | - |
| dc.type.rims | ART | - |
| dc.type.docType | Article | - |
| dc.description.journalClass | 1 | - |
| dc.description.journalRegisteredClass | scie | - |
| dc.description.journalRegisteredClass | scopus | - |
| dc.relation.journalResearchArea | Automation & Control Systems | - |
| dc.relation.journalResearchArea | Engineering | - |
| dc.relation.journalWebOfScienceCategory | Automation & Control Systems | - |
| dc.relation.journalWebOfScienceCategory | Engineering, Electrical & Electronic | - |
| dc.subject.keywordPlus | OPERATOR SPLITTING METHODS | - |
| dc.subject.keywordPlus | ADI | - |
| dc.subject.keywordAuthor | Regime-switching model | - |
| dc.subject.keywordAuthor | Finite difference method | - |
| dc.subject.keywordAuthor | Operator splitting method | - |
| dc.subject.keywordAuthor | Volatility smile | - |
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