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...

Descripción completa

Detalles Bibliográficos
Autor Principal: Ratanov N.
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: Springer New York LLC 2016
Materias:
Acceso en línea:https://repository.urosario.edu.co/handle/10336/22587
https://doi.org/10.1007/s11009-015-9462-7