Empirical study on option pricing under Markov regime switching economics

Cites Work

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The Pricing of Options and Corporate Liabilities
On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model
On pricing and hedging options in regime-switching models with feedback effect
Regime-switching risk: to price or not to price?
Markov-modulated jump-diffusions for currency option pricing
A hidden Markov regime-switching model for option valuation
Option pricing and Esscher transform under regime switching
Option pricing for pure jump processes with Markov switching compensators
A game theoretic approach to option valuation under Markovian regime-switching models
Robust parameter estimation for asset price models with Markov modulated volatilities
Option pricing when the regime-switching risk is priced
Martingales and arbitrage in multiperiod securities markets
Martingales and stochastic integrals in the theory of continuous trading
An application of hidden Markov models to asset allocation problems
Geometric Lévy process \& MEMM pricing model and related estimation problems
The minimal entropy martingale measures for geometric Lévy processes
A stochastic calculus model of continuous trading: Complete markets
Approximation pricing and the variance-optimal martingale measure
Option valuation under a regime-switching constant elasticity of variance process
AMERICAN OPTIONS WITH REGIME SWITCHING
FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
New finite-dimensional filters and smoothers for noisily observed Markov chains
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
Information and option pricings

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