Option pricing and Esscher transform under regime switching

DOI10.1007/s10436-005-0013-zzbMath1233.91270OpenAlexW2087019456MaRDI QIDQ665552

Robert J. Elliott, Leunglung Chan, Tak Kuen Siu

Publication date: 5 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-005-0013-z

zbMATH Keywords

option pricing regime switching Esscher transform hidden Markov chain model MEMM

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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