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...

Full description

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
Rights
License
Abierto (Texto Completo)
id EDOCUR2_507d235455665b70247d3ee4b2389014
oai_identifier_str oai:repository.urosario.edu.co:10336/22587
network_acronym_str EDOCUR2
network_name_str Repositorio EdocUR - U. Rosario
repository_id_str
spelling 4ab98391-ba48-4790-b0fb-e3a748e4361b-12020-05-25T23:57:02Z2020-05-25T23:57:02Z2016We 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.application/pdfhttps://doi.org/10.1007/s11009-015-9462-713875841https://repository.urosario.edu.co/handle/10336/22587engSpringer New York LLC845No. 3829Methodology and Computing in Applied ProbabilityVol. 18Methodology and Computing in Applied Probability, ISSN:13875841, Vol.18, No.3 (2016); pp. 829-845https://www.scopus.com/inward/record.uri?eid=2-s2.0-84941662420&doi=10.1007%2fs11009-015-9462-7&partnerID=40&md5=891acab7fa42a686a6ff39713a43cccfAbierto (Texto Completo)http://purl.org/coar/access_right/c_abf2instname:Universidad del Rosarioreponame:Repositorio Institucional EdocUREsscher transformFinancial modellingJump-diffusion processJump-telegraph processMartingalesOption pricingRelative entropyOption Pricing Under Jump-Diffusion Processes with Regime SwitchingarticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501Ratanov N.ORIGINALRatanov2016_Article_OptionPricingUnderJump-Diffusi.pdfapplication/pdf760944https://repository.urosario.edu.co/bitstreams/458b00f9-0cee-4792-89c7-c24e55daf851/downloade20d9e15a53a7edbf1a5393e96a6b8d3MD51TEXTRatanov2016_Article_OptionPricingUnderJump-Diffusi.pdf.txtRatanov2016_Article_OptionPricingUnderJump-Diffusi.pdf.txtExtracted texttext/plain34664https://repository.urosario.edu.co/bitstreams/43b28faa-31ec-4410-9753-423fb7298612/download9751ff5780c8d44315091ec64bdb6659MD52THUMBNAILRatanov2016_Article_OptionPricingUnderJump-Diffusi.pdf.jpgRatanov2016_Article_OptionPricingUnderJump-Diffusi.pdf.jpgGenerated Thumbnailimage/jpeg3804https://repository.urosario.edu.co/bitstreams/0228a234-4a6b-43fb-a7cf-05e0855abb46/downloadad8cab22ad53677c32b49540dddc047dMD5310336/22587oai:repository.urosario.edu.co:10336/225872022-05-02 07:37:20.508306https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co
dc.title.spa.fl_str_mv Option Pricing Under Jump-Diffusion Processes with Regime Switching
title Option Pricing Under Jump-Diffusion Processes with Regime Switching
spellingShingle Option Pricing Under Jump-Diffusion Processes with Regime Switching
Esscher transform
Financial modelling
Jump-diffusion process
Jump-telegraph process
Martingales
Option pricing
Relative entropy
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
dc.subject.keyword.spa.fl_str_mv Esscher transform
Financial modelling
Jump-diffusion process
Jump-telegraph process
Martingales
Option pricing
Relative entropy
topic Esscher transform
Financial modelling
Jump-diffusion process
Jump-telegraph process
Martingales
Option pricing
Relative entropy
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.
publishDate 2016
dc.date.created.spa.fl_str_mv 2016
dc.date.accessioned.none.fl_str_mv 2020-05-25T23:57:02Z
dc.date.available.none.fl_str_mv 2020-05-25T23:57:02Z
dc.type.eng.fl_str_mv article
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
dc.type.spa.spa.fl_str_mv Artículo
dc.identifier.doi.none.fl_str_mv https://doi.org/10.1007/s11009-015-9462-7
dc.identifier.issn.none.fl_str_mv 13875841
dc.identifier.uri.none.fl_str_mv https://repository.urosario.edu.co/handle/10336/22587
url https://doi.org/10.1007/s11009-015-9462-7
https://repository.urosario.edu.co/handle/10336/22587
identifier_str_mv 13875841
dc.language.iso.spa.fl_str_mv eng
language eng
dc.relation.citationEndPage.none.fl_str_mv 845
dc.relation.citationIssue.none.fl_str_mv No. 3
dc.relation.citationStartPage.none.fl_str_mv 829
dc.relation.citationTitle.none.fl_str_mv Methodology and Computing in Applied Probability
dc.relation.citationVolume.none.fl_str_mv Vol. 18
dc.relation.ispartof.spa.fl_str_mv Methodology and Computing in Applied Probability, ISSN:13875841, Vol.18, No.3 (2016); pp. 829-845
dc.relation.uri.spa.fl_str_mv https://www.scopus.com/inward/record.uri?eid=2-s2.0-84941662420&doi=10.1007%2fs11009-015-9462-7&partnerID=40&md5=891acab7fa42a686a6ff39713a43cccf
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.acceso.spa.fl_str_mv Abierto (Texto Completo)
rights_invalid_str_mv Abierto (Texto Completo)
http://purl.org/coar/access_right/c_abf2
dc.format.mimetype.none.fl_str_mv application/pdf
dc.publisher.spa.fl_str_mv Springer New York LLC
institution Universidad del Rosario
dc.source.instname.spa.fl_str_mv instname:Universidad del Rosario
dc.source.reponame.spa.fl_str_mv reponame:Repositorio Institucional EdocUR
bitstream.url.fl_str_mv https://repository.urosario.edu.co/bitstreams/458b00f9-0cee-4792-89c7-c24e55daf851/download
https://repository.urosario.edu.co/bitstreams/43b28faa-31ec-4410-9753-423fb7298612/download
https://repository.urosario.edu.co/bitstreams/0228a234-4a6b-43fb-a7cf-05e0855abb46/download
bitstream.checksum.fl_str_mv e20d9e15a53a7edbf1a5393e96a6b8d3
9751ff5780c8d44315091ec64bdb6659
ad8cab22ad53677c32b49540dddc047d
bitstream.checksumAlgorithm.fl_str_mv MD5
MD5
MD5
repository.name.fl_str_mv Repositorio institucional EdocUR
repository.mail.fl_str_mv edocur@urosario.edu.co
_version_ 1814167679703973888

Publicaciones similares