Option Pricing Under Jump-Diffusion Processes with Regime Switching

Resultado de la investigación: Contribución a RevistaArtículo

1 Cita (Scopus)

Resumen

© 2015, Springer Science+Business Media New York.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.
Idioma originalEnglish (US)
Páginas (desde-hasta)829-845
Número de páginas17
PublicaciónMethodology and Computing in Applied Probability
DOI
EstadoPublished - sep 1 2016

Huella dactilar

Equivalent Martingale Measure
Jump-diffusion Process
Regime Switching
Option Pricing
Incomplete Markets
Market Model
Markov Process
Explicit Formula
Model-based
Analogue
Business

Citar esto

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Option Pricing Under Jump-Diffusion Processes with Regime Switching. / Ratanov, Nikita.

En: Methodology and Computing in Applied Probability, 01.09.2016, p. 829-845.

Resultado de la investigación: Contribución a RevistaArtículo

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