Option pricing under jump-diffusion processes with regime switching

DOI10.1007/s11009-015-9462-7zbMath1350.91017OpenAlexW2260877778MaRDI QIDQ340129

Nikita E. Ratanov

Publication date: 11 November 2016

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-015-9462-7

zbMATH Keywords

equivalent martingale measurejump-diffusion processpricing formula

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Option pricing under a jump-telegraph diffusion model with jumps of random size, Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment

Cites Work

• Unnamed Item
• Unnamed Item
• Telegraph processes and option pricing
• Nonhomogeneous telegraph processes and their application to financial market modeling
• Telegraph processes with random jumps and complete market models
• Option pricing and Esscher transform under regime switching
• Mathematical methods for financial markets.
• Option pricing model based on a Markov-modulated diffusion with jumps
• A general version of the fundamental theorem of asset pricing
• The minimal entropy martingale measures for geometric Lévy processes
• Incompleteness of markets driven by a mixed diffusion
• On jump-diffusion processes with regime switching: martingale approach
• A jump telegraph model for option pricing
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets