Simple and Good - Option Pricing with Regime Switching Skew Tree Models

dc.contributor.author	Hausmann, Wilfried
dc.date.accessioned	2022-08-12T07:12:16Z
dc.date.available	2022-08-12T07:12:16Z
dc.date.issued	2018
dc.identifier.uri	https://publikationsserver.thm.de/xmlui/handle/123456789/95
dc.identifier.uri	http://dx.doi.org/10.25716/thm-45
dc.description.abstract	This article provides a contribution to the search for a stochastic model to describe the evolution of the prices of stocks and similar variables that matches the option prices observable on the market and their dynamics. Part 1 covers the design of a system of regime swiching tree models, which allows to generate a large variety of implied volatility surfaces with high regularity of the stochastic process of the underlying. Part 2 examines how well a very simple one of these models allows to represent Eurex DAX option prices at the time of the Brexit vote in 2016 as well as the French presidential election in 2017.	de
dc.format.extent	86 S.	de
dc.language.iso	en	de
dc.publisher	Technische Hochschule Mittelhessen; Gießen	de
dc.relation.ispartofseries	THM-Hochschulschriften;10
dc.rights.uri	https://rightsstatements.org/page/InC/1.0/	de
dc.subject	Arbitrage Free Option Pricing , Markovian Regime Switching , Skew Tree Models , Implied Volatility Surface , Option Prices and Brexit Vote	de
dc.title	Simple and Good - Option Pricing with Regime Switching Skew Tree Models	de
dc.type	Verschiedenartige Texte	de
dcterms.accessRights	open access	de
dc.description.version	Published Version	de
dc.identifier.eissn	2568-3020

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