OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING

DOI10.1142/S0219024906003846zbMath1138.91437OpenAlexW2067961894MaRDI QIDQ5487827

Leunglung Chan, Tak Kuen Siu, Robert J. Elliott

Publication date: 12 September 2006

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

Full work available at URL: https://doi.org/10.1142/s0219024906003846

zbMATH Keywords

recursive formulaanalytical option valuationMarkov switching conditional Esscher transformMarkov switching Heston-Nandi's GARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

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