| dc.creator | Ratanov N. |
| dc.date.accessioned | 2020-05-25T23:57:02Z |
| dc.date.available | 2020-05-25T23:57:02Z |
| dc.date.created | 2016 |
| dc.identifier.issn | 13875841 |
| dc.identifier.uri | https://repository.urosario.edu.co/handle/10336/22587 |
| dc.description.abstract | 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. |
| dc.format.mimetype | application/pdf |
| dc.language.iso | eng |
| dc.relation.ispartof | Methodology and Computing in Applied Probability, ISSN:13875841, Vol.18, No.3 (2016); pp. 829-845 |
| dc.relation.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-84941662420&doi=10.1007%2fs11009-015-9462-7&partnerID=40&md5=891acab7fa42a686a6ff39713a43cccf |
| dc.title | Option Pricing Under Jump-Diffusion Processes with Regime Switching |
| dc.type | article |
| dc.publisher | Springer New York LLC |
| dc.subject.keyword | Esscher transform |
| dc.subject.keyword | Financial modelling |
| dc.subject.keyword | Jump-diffusion process |
| dc.subject.keyword | Jump-telegraph process |
| dc.subject.keyword | Martingales |
| dc.subject.keyword | Option pricing |
| dc.subject.keyword | Relative entropy |
| dc.rights.accesRights | info:eu-repo/semantics/openAccess |
| dc.type.spa | Artículo |
| dc.rights.acceso | Abierto (Texto Completo) |
| dc.type.hasVersion | info:eu-repo/semantics/publishedVersion |
| dc.identifier.doi | https://doi.org/10.1007/s11009-015-9462-7 |
| dc.relation.citationEndPage | 845 |
| dc.relation.citationIssue | No. 3 |
| dc.relation.citationStartPage | 829 |
| dc.relation.citationTitle | Methodology and Computing in Applied Probability |
| dc.relation.citationVolume | Vol. 18 |
| dc.source.instname | instname:Universidad del Rosario |
| dc.source.reponame | reponame:Repositorio Institucional EdocUR |
