Option Pricing Under Jump-Diffusion Processes with Regime Switching

被引：4
|
作者：
Ratanov, Nikita [1 ]
机构：
[1] Univ Rosario, Cl 12c,4-69, Bogota, Colombia
来源：
METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2016年 / 18卷 / 03期
关键词：
Jump-telegraph process; Jump-diffusion process; Martingales; Relative entropy; Financial modelling; Option pricing; Esscher transform; TELEGRAPH PROCESSES; MODEL;
D O I：
10.1007/s11009-015-9462-7
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
引用
收藏
页码：829 / 845
页数：17
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