Option Pricing Under Jump-Diffusion Processes with Regime Switching

We study an incomplete market model, based on jump-diffusion processes with parameters that are switched at random times. The set of equivalent martingale measures is determined. An analogue of the fundamental equation for the option price is derived. In the case of the two-state hidden Markov proce...

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Detalles Bibliográficos
Autor Principal: Ratanov N.
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: Springer New York LLC 2016
Acceso en línea:https://repository.urosario.edu.co/handle/10336/22587