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Option Pricing Under Jump-Diffusion Processes with Regime Switching

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dc.creatorRatanov N.spa
dc.date.accessioned2020-05-25T23:57:02Z
dc.date.available2020-05-25T23:57:02Z
dc.date.created2016spa
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.eng
dc.format.mimetypeapplication/pdf
dc.identifier.doihttps://doi.org/10.1007/s11009-015-9462-7
dc.identifier.issn13875841
dc.identifier.urihttps://repository.urosario.edu.co/handle/10336/22587
dc.language.isoengspa
dc.publisherSpringer New York LLCspa
dc.relation.citationEndPage845
dc.relation.citationIssueNo. 3
dc.relation.citationStartPage829
dc.relation.citationTitleMethodology and Computing in Applied Probability
dc.relation.citationVolumeVol. 18
dc.relation.ispartofMethodology and Computing in Applied Probability, ISSN:13875841, Vol.18, No.3 (2016); pp. 829-845spa
dc.relation.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-84941662420&doi=10.1007%2fs11009-015-9462-7&partnerID=40&md5=891acab7fa42a686a6ff39713a43cccfspa
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.rights.accesoAbierto (Texto Completo)spa
dc.source.instnameinstname:Universidad del Rosariospa
dc.source.reponamereponame:Repositorio Institucional EdocURspa
dc.subject.keywordEsscher transformspa
dc.subject.keywordFinancial modellingspa
dc.subject.keywordJump-diffusion processspa
dc.subject.keywordJump-telegraph processspa
dc.subject.keywordMartingalesspa
dc.subject.keywordOption pricingspa
dc.subject.keywordRelative entropyspa
dc.titleOption Pricing Under Jump-Diffusion Processes with Regime Switchingspa
dc.typearticleeng
dc.type.hasVersioninfo:eu-repo/semantics/publishedVersion
dc.type.spaArtículospa
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