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R. J. Elliot, T. K. Siu and L. Chan, “Option Pricing for GARCH Models with Markov Switching,” International Journal of Theoretical and Applied Finance, Vol. 9, No. 6, 2006, pp. 825-841. doi:10.1142/S0219024906003846

has been cited by the following article:

• TITLE: Recent Developments in Option Pricing

  AUTHORS: Hui Gong, You Liang, Aerambamoorthy Thavaneswaran

  KEYWORDS: Stochastic Volatility, Black-Scholes Partial Differential Equations, Option Pricing, Monte Carlo

  JOURNAL NAME: Journal of Mathematical Finance, Vol.1 No.3, November 25, 2011

  ABSTRACT: In this paper, we investigate recent developments in option pricing based on Black-Scholes processes, pure jump processes, jump diffusion process, and stochastic volatility processes. Results on Black-Scholes model with GARCH volatility (Gong, Thavaneswaran and Singh [1]) and Black-Scholes model with stochastic volatility (Gong, Thavaneswaran and Singh [2]) are studied. Also, recent results on option pricing for jump diffusion processes, partial differential equation (PDE) method together with FFT (fast Fourier transform) approximations of Pillay and O’ Hara [3] and a recently proposed method based on moments of truncated lognormal distribution (Thavaneswaran and Singh [4]) are also discussed in some detail.