A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing

DOI10.1007/978-1-4899-7442-6_8zbMath1418.91539OpenAlexW1928347920MaRDI QIDQ4562481

Tak Kuen Siu

Publication date: 21 December 2018

Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4899-7442-6_8

zbMATH Keywords

hidden Markov chainjump-diffusionEuropean option pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (10)

A self-exciting threshold jump-diffusion model for option valuation ⋮ A generalized Esscher transform for option valuation with regime switching risk ⋮ Option pricing under regime-switching models: novel approaches removing path-dependence ⋮ Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates ⋮ European option pricing with market frictions, regime switches and model uncertainty ⋮ Asset pricing using trading volumes in a hidden regime-switching environment ⋮ 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 ⋮ Pricing annuity guarantees under a double regime-switching model

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