Wei Wang, Liegang Dong, Xiaonan Su, "Pricing Forward Starting Options Under Regime Switching Jump Diffusion Models," WSEAS Transactions on Mathematics, vol. 15, pp. 185-195, 2016, DOI:
Wei Wang, Liegang Dong, Xiaonan Su. Pricing Forward Starting Options Under Regime Switching Jump Diffusion Models.
WSEAS Transactions on Mathematics. 2016;15:185-195.
WSEAS Transactions on Mathematics
Print ISSN: 1109-2769, E-ISSN: 2224-2880
Volume 15, 2016
Pricing Forward Starting Options Under Regime Switching Jump Diffusion Models
Authors: , ,
Abstract: This paper studies the pricing of forward starting options under regime switching jump diffusion models. We suppose that a market economy has only two states, one is a stable state, the other is a high volatility state. The dynamics of a risky asset is modeled by a geometry Brownian motion when the market state is stable, otherwise, it follows a jump diffusion model. We propose two types of regime switching jump diffusion models: one is a two-state regime switching Merton jump diffusion model, and the other is a two-state regime switching double exponential jump diffusion model. Finally, some analytic formulas for pricing forward starting options are derived under these regime switching jump diffusion models.
Pages: 185-195 WSEAS Transactions on Mathematics, ISSN / E-ISSN: 1109-2769 / 2224-2880, Volume 15, 2016, Art. #18 DOI: *As the DOI is a unique identifier, it is already available in the pdf version.
**The DOI link will be activated in the first midst of January 2026.
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