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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Autores:

Tipo de recurso:

Fecha de publicación:

2016

Institución:

Universidad del Rosario

Repositorio:

Repositorio EdocUR - U. Rosario

Idioma:

eng

OAI Identifier:

oai:repository.urosario.edu.co:10336/22587

Acceso en línea:

https://doi.org/10.1007/s11009-015-9462-7
https://repository.urosario.edu.co/handle/10336/22587

Palabra clave:

Esscher transform
Financial modelling
Jump-diffusion process
Jump-telegraph process
Martingales
Option pricing
Relative entropy

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