OPTION PRICING USING A REGIME SWITCHING STOCHASTIC DISCOUNT FACTOR

DOI10.1142/S0219024914500204zbMath1410.91445MaRDI QIDQ5420701

Ahmed S. Hamada, Robert J. Elliott

Publication date: 13 June 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

option pricingregime switchingstochastic discount factorcontinuous time Markov chain

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (1)

On a parabolic partial differential equation and system modeling a production planning problem

Cites Work

• The Pricing of Options and Corporate Liabilities
• Econometric specification of stochastic discount factor models
• A Markov regime-switching marked point process for short-rate analysis with credit risk
• A PDE approach for risk measures for derivatives with regime switching
• Fourier inversion formulas in option pricing and insurance
• Option pricing for pure jump processes with Markov switching compensators
• Robust optimal portfolio choice under Markovian regime-switching model
• 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
• Equity with Markov-modulated dividends
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
• PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS

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