Option pricing when the regime-switching risk is priced

DOI10.1007/S10255-008-8803-5zbMath1188.91222OpenAlexW2033070835MaRDI QIDQ1036916

Hailiang Yang, Tak Kuen Siu

Publication date: 13 November 2009

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-008-8803-5

zbMATH Keywords

Esscher transformoption valuationregime-switching riskmartingale restrictionmin-max entropy problemtwo-stage pricing procedure

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (15)

On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model ⋮ On the price of risk under a regime switching CGMY process ⋮ Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors ⋮ A self-exciting threshold jump-diffusion model for option valuation ⋮ Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models ⋮ A generalized Esscher transform for option valuation with regime switching risk ⋮ Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates ⋮ A lattice method for option pricing with two underlying assets in the regime-switching model ⋮ Regime-switching risk: to price or not to price? ⋮ Pricing and managing risks of European-style options in a Markovian regime-switching binomial model ⋮ EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS ⋮ Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model ⋮ Empirical study on option pricing under Markov regime switching economics ⋮ A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS ⋮ REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK

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