Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model

DOI10.1080/1350486X.2011.578457zbMath1239.91167OpenAlexW1984146097MaRDI QIDQ2889601

Eric S. Fung, Tak Kuen Siu, Michael Kwok-Po Ng

Publication date: 8 June 2012

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2011.578457

zbMATH Keywords

Esscher transformoption valuationdouble Markovian regime-switching modelnon-normal innovations

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Option pricing under regime-switching models: novel approaches removing path-dependence, Option pricing in regime-switching frameworks with the extended Girsanov principle, HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS

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