Show simple item record

dc.creatorRatanov N. 
dc.date.accessioned2020-05-25T23:57:02Z
dc.date.available2020-05-25T23:57:02Z
dc.date.created2016
dc.identifier.issn13875841
dc.identifier.urihttps://repository.urosario.edu.co/handle/10336/22587
dc.description.abstractWe 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.
dc.format.mimetypeapplication/pdf
dc.language.isoeng
dc.relation.ispartofMethodology and Computing in Applied Probability, ISSN:13875841, Vol.18, No.3 (2016); pp. 829-845
dc.relation.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-84941662420&doi=10.1007%2fs11009-015-9462-7&partnerID=40&md5=891acab7fa42a686a6ff39713a43cccf
dc.titleOption Pricing Under Jump-Diffusion Processes with Regime Switching
dc.typearticle
dc.publisherSpringer New York LLC
dc.subject.keywordEsscher transform
dc.subject.keywordFinancial modelling
dc.subject.keywordJump-diffusion process
dc.subject.keywordJump-telegraph process
dc.subject.keywordMartingales
dc.subject.keywordOption pricing
dc.subject.keywordRelative entropy
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.type.spaArtículo
dc.rights.accesoAbierto (Texto Completo)
dc.type.hasVersioninfo:eu-repo/semantics/publishedVersion
dc.identifier.doihttps://doi.org/10.1007/s11009-015-9462-7
dc.relation.citationEndPage845
dc.relation.citationIssueNo. 3
dc.relation.citationStartPage829
dc.relation.citationTitleMethodology and Computing in Applied Probability
dc.relation.citationVolumeVol. 18
dc.source.instnameinstname:Universidad del Rosario
dc.source.reponamereponame:Repositorio Institucional EdocUR


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record