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REGIME-SWITCHING: 作品数：40被引量：35H指数：4; 导出分析报告; 相关领域：理学经济管理更多>>; 相关作者：刘迪耿国强刘宣会牛华伟高月更多>>; 相关机构：浙江财经大学华东师范大学西安工程大学北京大学更多>>; 相关期刊：《Statistical Theory and Related Fields》《Journal of Computational Mathematics》《China & World Economy》《Frontiers of Mathematics in China》更多>>; 相关基金：国家自然科学基金中国博士后科学基金国家教育部博士点基金河北省自然科学基金更多>>

Power Options Pricing under Markov Regime-Switching Two-Factor Stochastic Volatility Jump-Diffusion Model: 《Chinese Quarterly Journal of Mathematics》2025年第1期59-73,共15页HAN Shu-shu WEI Yu-ming; Guangxi Natural Science Foundation(Grant No.2023GXNSFAA026246).; In this paper,we incorporate Markov regime-switching into a two-factor stochastic volatility jump-diffusion model to enhance the pricing of power options.Furthermore,we assume that the interest rates and the jump inte...; 关键词：Power options Markov regime-switching Stochastic volatility Stochastic interest rate Stochastic intensity

Pricing Catastrophe Options with Credit Risk in a Regime-Switching Model: 《应用概率统计》2024年第4期572-587,共16页XU Yajuan WANG Guojing; supported by the Jiangsu University Philosophy and Social Science Research Project(Grant No.2019SJA1326).; In this paper,we consider the price of catastrophe options with credit risk in a regime-switching model.We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space...; 关键词：PRICING catastrophe option credit risk REGIME-SWITCHING measure change

Empirical Study on Option Pricing under Markov Regime Switching Economics: 《Annals of Applied Mathematics》2024年第1期21-42,共22页Lianfeng(David)Liu; In this research,we summarize the results of a practical study of index options based on the option valuation model which was proposed by Siu and Yang(Acta Math.Appl.Sin.Engl.Ser.,25(3)(2009),pp.339{388),where an EMM ...; 关键词：Option pricing EMM REGIME-SWITCHING hidden Markov model Esscher transform weighted difference method

Volatility and Dynamic Herding in Energy Sector of Developed Markets During COVID-19:A Markov Regime-Switching Approach: 《Fudan Journal of the Humanities and Social Sciences》2024年第1期115-138,共24页Zuee Javaira Najam Us Sahar Syed Danial Hashmi Iram Naz; This study examines a novel relationship between volatility and dynamic herding behavior during COVID-19 by examining the relationship of oil market volatility,Global volatility and Infectious disease equity market vo...; 关键词：HERDING Energy sector COVID-19 VOLATILITY Markov regime approach

An impact assessment of the COVID‑19 pandemic on Japanese and US hotel stocks: 《Financial Innovation》2023年第1期2507-2557,共51页Takashi Kanamura; This study proposes two new regime-switching volatility models to empirically analyze the impact of the COVID-19 pandemic on hotel stock prices in Japan compared with the US,taking into account the role of stock marke...; 关键词：Hotel industry Asset price volatility COVID-19 REGIME-SWITCHING Infection speed

A regime-switching stochastic SIR epidemic model with a saturated incidence and limited medical resources: 《International Journal of Biomathematics》2023年第7期91-110,共20页Wei Wei Wei Xu Jiankang Liu; This work is supported by the National Natural Science Foundation of China(Grant Nos.12072261 and 11872305).; The stochastic switching SIR epidemic model with saturated incidence and limited medical treatment is investigated in this paper.By using Lyapunov methods and Ito formula,we first prove that the system has a unique gl...; 关键词：Epidemic model EXTINCTION PERSISTENCE Markov switching saturated incidence

On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models: 《Advances in Applied Mathematics and Mechanics》2023年第5期1290-1314,共25页Xiaoting Gan Junfeng Yin Rui Li; supported by the National Natural Science Foundation of China(Nos.11971354,and 11701221);the Special Basic Cooperative Research Programs of Yunnan Provincial Undergraduate Universities’Association(No.2019FH001-079);the Fundamental Research Funds for the Central Universities(No.22120210555).; In this paper,we construct and analyze a Crank-Nicolson fitted finite volume scheme for pricing European options under regime-switching Kou’s jumpdiffusion model which is governed by a system of partial integro-diffe...; 关键词：European option pricing regime-switching Kou’s jump-diffusion model partial integro-differential equation fitted finite volume method Crank-Nicolson scheme

Propagation of chaos and conditional McKean-Vlasov SDEs with regime-switching: 《Frontiers of Mathematics in China》2022年第4期731-746,共16页Jinghai SHAO Dong WEI; supported in part by the National Natural Science Foundation of China(Grant Nos.11771327,11831014).; We investigate a particle system with mean field interaction living in a random environment characterized by a regime-switching process.The switching process is allowed to be dependent on the particle system.The well-...; 关键词：REGIME-SWITCHING propagation of chaos Wasserstein distance conditional McKean-Vlasov SDEs rate of convergence

Goal Achieving Probabilities of Mean-Variance Strategies in a Market with Regime-Switching Volatility: 《Applied Mathematics》2022年第7期602-611,共10页René Ferland Franç ois Watier; In this paper, we establish properties for the switch-when-safe mean-variance strategies in the context of a Black-Scholes market model with stochastic volatility processes driven by a continuous-time Markov chain wit...; 关键词：First Passage Time Probabilities Mean-Variance Strategy Regime-Switching Model

Regime specific spillover across cryptocurrencies and the role of COVID‑19被引量：4: 《Financial Innovation》2021年第1期91-114,共24页Syed Jawad Hussain Shahzad Elie Bouri Sang Hoon Kang Tareq Saeed; The fourth author acknowledges that the Deanship of Scientific Research(DSR)at King Abdulaziz University,Jeddah,Saudi Arabia funded this project,under Grant No.(FP-71-42);The third author acknowledges the support of the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea(NRF-2020S1A5B8103268).; The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility regimes,while considering three pricing factors and the effect of the COVID-19 outbreak.To do so,w...; 关键词：REGIME-SWITCHING Volatility regimes SPILLOVERS Connectedness Cryptocurrencies COVID-19

REGIME-SWITCHING