Asset pricing using trading volumes in a hidden regime-switching environment

DOI10.1007/s10690-014-9197-4zbMath1368.91170OpenAlexW2143252561MaRDI QIDQ2013295

Tak Kuen Siu, Robert J. Elliott

Publication date: 17 August 2017

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-014-9197-4

zbMATH Keywords

asset pricingfilteringhidden Markov modelsEsscher transformPDIEtrading volumes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

A self-exciting threshold jump-diffusion model for option valuation ⋮ Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales ⋮ Option pricing in regime-switching frameworks with the extended Girsanov principle ⋮ HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS ⋮ A martingale approach for asset allocation with derivative security and hidden economic risk

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Regime-switching risk: to price or not to price?
• Option pricing and Esscher transform under regime switching
• A game theoretic approach to option valuation under Markovian regime-switching models
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• A stochastic calculus model of continuous trading: Complete markets
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes
• On Esscher Transforms in Discrete Finance Models
• The Price Variability-Volume Relationship on Speculative Markets
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis
• A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing
• Information and option pricings
• General smoothing formulas for Markov-modulated Poisson observations