A hidden Markov-modulated jump diffusion model for European option pricing
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- Information and option pricings
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Cited in
(14)- Asset pricing using trading volumes in a hidden regime-switching environment
- Option pricing in regime-switching frameworks with the extended Girsanov principle
- Pricing annuity guarantees under a double regime-switching model
- Option pricing under regime-switching models: novel approaches removing path-dependence
- Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates
- MSM estimators of European options on assets with jumps
- Option pricing and filtering with hidden Markov-modulated pure-jump processes
- A self-exciting threshold jump-diffusion model for option valuation
- A generalized Esscher transform for option valuation with regime switching risk
- Hedging options in a doubly Markov-modulated financial market via stochastic flows
- A martingale approach for asset allocation with derivative security and hidden economic risk
- European option pricing with market frictions, regime switches and model uncertainty
- Risk-based optimal portfolio of an insurance firm with regime switching and noisy memory
- A hidden Markov regime-switching model for option valuation
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