Option pricing for pure jump processes with Markov switching compensators

DOI10.1007/S00780-006-0004-6zbMath1101.91034OpenAlexW1975507670MaRDI QIDQ854276

Carlton-James U. Osakwe, Robert J. Elliott

Publication date: 8 December 2006

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-006-0004-6

zbMATH Keywords

hedgingcharacteristic functionMarkov switchingEuropean optionscompensatorjump process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

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