Option Pricing with Threshold Mean Reversion
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DOI: 10.1002/fut.21795
Abstract: Mean reversion and regime switching are well-known features of commodity prices. Recent empirical research additionally documents the time variation of the mean reversion rate and volatility. This paper considers the option pricing framework for an… read more here.
Keywords: option pricing; regime switching; mean reversion; reversion ... See more keywords
On full calibration of hybrid local volatility and regime‐switching models
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DOI: 10.1002/fut.21901
Abstract: Calibrating local regime†switching models is a challenging problem, especially when the volatility functions are assumed to depend on both of the underlying price and time. In this paper, the inverse problem of determining local… read more here.
Keywords: regime switching; volatility; switching models; local volatility ... See more keywords
Regime switching rough Heston model
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DOI: 10.1002/fut.21993
Abstract: This model combines two important stylized features of volatility, the rough behavior consistent with a Hurst parameter less than 0.5, and the regime switching property consistent with more long‐term economic considerations. It is nevertheless highly… read more here.
Keywords: rough heston; heston model; model; switching rough ... See more keywords
Maximum Principles of Markov Regime-Switching Forward–Backward Stochastic Differential Equations with Jumps and Partial Information
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Optimization Theory and Applications"
DOI: 10.1007/s10957-017-1144-x
Abstract: This paper presents three versions of maximum principle for a stochastic optimal control problem of Markov regime-switching forward–backward stochastic differential equations with jumps. First, a general sufficient maximum principle for optimal control for a system,… read more here.
Keywords: regime switching; markov regime; maximum principle; switching forward ... See more keywords
An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models
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DOI: 10.1007/s11075-020-00994-7
Abstract: Recently, fractional partial differential equations have been widely applied in option pricing problems, which better explains many important empirical facts of financial markets, but rare paper considers the multi-state options pricing problem based on fractional… read more here.
Keywords: regime switching; fractional partial; partial differential; usepackage ... See more keywords
Does globalization matter for environmental sustainability? Empirical investigation for Turkey by Markov regime switching models
Sign Up to like & getrecommendations! Published in 2019 at "Environmental Science and Pollution Research"
DOI: 10.1007/s11356-019-06996-w
Abstract: Many efforts have been made to theoretically explain and/or empirically investigate how globalization plays a role on environmental quality. However, as in theoretical explanations, empirical literature as well has not reached a consensus yet to… read more here.
Keywords: environmental sustainability; regime switching; globalization; switching models ... See more keywords
Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space
Sign Up to like & getrecommendations! Published in 2018 at "Economics Letters"
DOI: 10.1016/j.econlet.2018.06.009
Abstract: Abstract The Markov-switching multifractal process, and recent extensions such as the factorial hidden Markov volatility model, correspond to tightly parametrized hidden Markov models characterized by a high-dimensional state space. Because the central component in these… read more here.
Keywords: characterized high; high dimensional; regime switching; state space ... See more keywords
Resource extraction with a carbon tax and regime switching prices: Exercising your options
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DOI: 10.1016/j.eneco.2017.07.013
Abstract: This paper develops a model of a profit maximizing firm with the option to exploit a non-renewable resource, choosing the timing and pace of development. The resource price is modelled as a regime switching process,… read more here.
Keywords: regime switching; extraction; carbon tax;
A dynamic conditional regime-switching GARCH CAPM for energy and financial markets
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DOI: 10.1016/j.eneco.2019.104577
Abstract: Abstract This paper develops a methodology for estimating a time-varying conditional version of the CAPM with regime changes in conditional variance dynamics. Our research goal is related to documenting the power of the beta when… read more here.
Keywords: regime switching; energy; capm; switching garch ... See more keywords
Regime switching in the present value models: A backward-solving method
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DOI: 10.1016/j.frl.2019.02.001
Abstract: Abstract We develop a new method for incorporating regime shifts in the present value models. Existing studies solve the present value problem forward by projecting the expectations of investors and regimes into the infinite future.… read more here.
Keywords: value models; present value; backward solving; switching present ... See more keywords
Asymptotic properties of the maximum likelihood estimator in regime switching econometric models
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2018.09.019
Abstract: Abstract Markov regime switching models have been widely used in numerous empirical applications in economics and finance. However, the asymptotic distribution of the maximum likelihood estimator (MLE) has not been proven for some empirically popular… read more here.
Keywords: maximum likelihood; likelihood estimator; regime; regime switching ... See more keywords