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...

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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
id ir-10336-22587
recordtype dspace
spelling ir-10336-225872021-01-21T08:21:51Z Option Pricing Under Jump-Diffusion Processes with Regime Switching Ratanov N. Esscher transform Financial modelling Jump-diffusion process Jump-telegraph process Martingales Option pricing Relative entropy "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 process we obtain explicit formulae for the option prices. Furthermore, we numerically compare the results corresponding to different equivalent martingale measures. © 2015, Springer Science+Business Media New York." 2016 2020-05-25T23:57:02Z info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion 13875841 https://repository.urosario.edu.co/handle/10336/22587 https://doi.org/10.1007/s11009-015-9462-7 eng info:eu-repo/semantics/openAccess application/pdf Springer New York LLC instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR
institution EdocUR - Universidad del Rosario
collection DSpace
language Inglés (English)
topic Esscher transform
Financial modelling
Jump-diffusion process
Jump-telegraph process
Martingales
Option pricing
Relative entropy
spellingShingle Esscher transform
Financial modelling
Jump-diffusion process
Jump-telegraph process
Martingales
Option pricing
Relative entropy
Ratanov N.
Option Pricing Under Jump-Diffusion Processes with Regime Switching
description "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 process we obtain explicit formulae for the option prices. Furthermore, we numerically compare the results corresponding to different equivalent martingale measures. © 2015, Springer Science+Business Media New York."
format Artículo (Article)
author Ratanov N.
author_facet Ratanov N.
author_sort Ratanov N.
title Option Pricing Under Jump-Diffusion Processes with Regime Switching
title_short Option Pricing Under Jump-Diffusion Processes with Regime Switching
title_full Option Pricing Under Jump-Diffusion Processes with Regime Switching
title_fullStr Option Pricing Under Jump-Diffusion Processes with Regime Switching
title_full_unstemmed Option Pricing Under Jump-Diffusion Processes with Regime Switching
title_sort option pricing under jump-diffusion processes with regime switching
publisher Springer New York LLC
publishDate 2016
url https://repository.urosario.edu.co/handle/10336/22587
https://doi.org/10.1007/s11009-015-9462-7
_version_ 1690577380887756800
score 11,828437